Region Locked Games

Keys are for activating a "sub", a subscription which includes one or more items, it could be a single game, it could be several games with DLCs, and so on.

Those subs are the ones region locked. Those subs can only be acquired, activated and/or run in certain regions, which could be a single country, Europe and NA, or the whole world except one country. VPN won't do a thing with that. Setting your account to be in a certain country can do that, but you have a limited amount of country changes and usually it's not worth the hassle for one single key.

As to know if a key is region locked, usually when there's a bundle, there's a thread about that bundle in the Deals discussions, e.g. the recent April Choice from HB: https://www.steamgifts.com/discussion/bKFpq/humble-bundle-april-2023-humble-choice-41
And here's an example of a region locked sub where you see the country restrictions: https://steamdb.info/sub/751975/

Sometimes you're lucky and e.g. in Fanatical you can see in which countries a certain key can be activated.

But back to your original question: VPN will not work, changing your country in your Steam account will work, but be very well informed about advantages and disadvantages of doing that before taking such step.

You can activate using a vpn, but valve will know you use the account in different regions if you do not always use the vpn to start and use steam. They can lock your account for that (see TOS) and will never unlock it for you. In essence you will lose your account. Is that worth it for you?
From the subscriber agreement:
You agree that you will not use IP proxying or other methods to disguise the place of your residence, whether to circumvent geographical restrictions on game content, to order or purchase at pricing not applicable to your geography, or for any other purpose. If you do this, Valve may terminate your access to your Account.

If you move to an other region the store can move with you. See: https://store.steampowered.com/account/change_country/

It's not that simple. It's possible to change steam region with some hacks, but it's more complex than just using a vpn, and it's against steam TOS, so can lead to a ban.

It used to work like that a few years back you could use VPN to activate region locked keys but they changed it. Now you need to set a valid payment option from the country in question if you want to change your region. Or at least that's what I read from various threads.

Do you want a ban on Steam? Because that's how you'll get a ban on Steam (bc it's against ToS).

It use to work around 2 years ago using VPN. Now steam have become more strict.
Still you can achieve this by using VPN and changing your region in steam settings. But after changing your region in steam settings steam require you to make a purchase using 'new' local credit/debit card before any key can be activated.
Source- I activated Amazing Spider-Man about 2 years ago using VPN and that worked however I tried activating region locked prototype 2 last year and stumbled upon these new hurdles.