“CD key” comes from the era when games shipped on discs with a printed code you typed in to prove you owned a legitimate copy. The disc is gone; the code stayed.
Today a key is a string that a storefront exchanges for a licence on your account. Buying a key is buying that licence — fast, paperless, and instant.
The name is a throwback, but the idea is the same: one code, one activation, one game added to your library.