Is there a way to check if keys of a certain game are usually region locked?

Yes, which game are you trying to purchase and in which country are you trying to activate the key?

SteamDB can help, though depending on the game, it'll take a while.
AAA publishers in particular have a tendency to create countless mostly identical packages, even when not using region locks.
Also, you'll almost never get a 100% accurate answer, because you cannot really know in advance which key you're gonna be sold (unless there's only one).

Search for the specific game, and investigate every "CD Key" and "Store or CD Key" package.
You can safely skip the more unlikely ones, like those labelled "press", "curator", or "publisher bundle".
Look for clues in the "Information" tab:

1. "This package can only be activated in specified countries"
   • this is an actual region lock, the key can only be activated in the listed countries
2. "This package can NOT be activated in specified countries"
   • "reverse" region lock, every country EXCEPT the listed one/s can activate the key
   • this is used for, i.e., a few global versions of games that have German-only "low violence" versions
3. "This package can only be purchased in specified countries"
   • "soft" region lock, simply means the package is only sold in those countries, but a key is otherwise region-free, unless combined with an activation lock
4. "This package can NOT be purchased in specified countries"
   • likewise, this simply means the key cannot be purchased by customers from restricted countries, but they should be able to activate it, unless combined with an activation lock
   • used for, i.e., games by Japanese publishers with console exclusivity deals that forbid sales of the PC version in Japan
5. "This package can only be activated or purchased in specified countries"
   • purchase restriction plus region lock, basically points 1 and 3 combined
   • usually used for regions with lower prices (RU/CIS, LATAM, SEA, etc.), and often combined with global versions being unavailable to them
6. "This package can NOT be activated or purchased in specified countries"
   • points 2 and 4 combined, i.e. "no game for you" if there isn't a version specific to that country or set of countries
7. "This package can only be run in specified countries"
   • run lock, the game can only run in the specified countries, but the lock will be lifted after a few months; usually combined with any of the above
8. "No cross-region trading and gifting - Cross region trading and gifting is disabled for this item."
   • this is mainly a restriction for store subs to prevent gifting to other (more expensive) regions, doesn't really do anything for keys
   • this is basically a relic from before price restrictions were enabled, as they take care of the majority of scenarios (and more, as you recently witnessed).

Being from the EU, you shouldn't have any major issue, you'll just have to be careful of certain AAA publishers (think it was 2K?) who consider "ROW" to be "North America and friends".