Make your key selector into a separate widget blueprint (let’s call it WBP_MyKeySelector), and I use this widget instead of a key selector. Then you can create a delegate/event in that new widget with WBP_MyKeySelector object as a parameter, and subscribe to it from the parent widget that listens to mouse wheel inputs.
In the new widget, subscribe to the key selector’s OnIsSelectingKeyChanged event, and when it fires, broadcast the custom you’ve created, with Self as an input. This way your parent widget will obtain the reference to the key input widget that’s currently active.
Hope this helps.