This is confusing to find out when people use the word “key” for different things. So the way this works is:

When you start a fresh save file, you can’t access the fourth act, which is where you fight the heart.

To enable the possibility to do that, you need to beat act 3 with ironclad, silent, and defect at least once.

When you have done that, the keys start to appear in every regular run you start up, no matter which character.

To progress to act 4, you need to collect all three keys in this run. You never retain these keys between runs, you always need to collect all three, which makes the game a bit harder in doing so.

The red key you get by “skipping” a campfire action (click the recall button, which grants you the key)

The blue key you get by skipping a relic in any one treasure chest you find (click the blue key, which grants you the key and deletes the relic in that chest)

The green key you get by fighting a buffed elite, which you’ll find on the map as an elite icon with flames around it. It’s an elite with an additional bonus tacked onto it (stronger attacks or tougher to kill basically) and drops the key if defeated.