Yes, but I haven't tried it yet.
The character should
activateifused=x, thus activating the key before he is destroyed.
(you have to edit the characters FPE to assign an IFUSED to it)
The IFUSED item (in this case a key) could then
settargetname=x to name the character as the tartget.
Then it would use the
movetotarget action to appear where the character is standing as he dies.
You need to have a delay on the calling of the destroy script for the character as to give the key time to get there before the character is destroyed. Otherwise the key would get moved to the characters spawn location rather than where he is dying.
EDIT
Here is another thread about charcters
dropping items when they die.
And Another thread about
dropping keys.
This one seems to have a real easy solution, but again, I have not tried any of these myself.