What to do...

It has probably been given away for free in the past. You can not give it away then.

Most people just throw such keys in the Orphan keys thread.

That probably means that game was given for free, and You can't create a giveaway for it.

if it was free, it's disabled forever. http://www.steamgifts.com/discussion/pJRbR/
if it's a new title, send a support ticket to add it.

Nothing as games that aren't in the list are mostly free games that aren't allowed to be used in SG giveaways.

But you can drop them in the SG discussions.