If you are thinking only about Filtered Data Extensions from a Main Data Extension, then it is possible.
You know that the fieldnames from the Main Data Extension (the DE that all filtered DEs were created from) will be copied to all Filtered data extensions.
This makes it a lot easier because once you have determined all relevant DEs, you can perform the exact same lookup into each.
Build a loop to retrieve all existing Data extensions.
The limit here is 2500 in one retrieve, but you can circumvent this if necessary, or maybe filter for some common traits.
For each retrieved DE, you would check if a field with the fieldname that holds the key in your Main DE exists.
Then perform a simple lookup for the specific user key you are looking for in the field that holds the Contact Key in your Main data Extension.