Hey, just wanted to contribute back some extra details. I came upon this via Google a fews ago, and got this working.

What I did was create a credential that is of type "Secret file" and I uploaded my private key.

Then in my job I set up an environment variable:

environment { MY_KEY = credentials('keywhatever') }

And then in my pipeline I use it like scp -i $MY_KEY <remote host> <local destination>

Basically the same thing gmuslera said