In the widget enable Is Focusable then make sure visibility is set to visible. Then on begin play Set Focus function. Now your key down should trigger, but if you click any mouse key it will remove focus and you won’t get any key triggers. (You could have some code that runs Set Focus when you need to type.)
Or instead of Set Focus you could just override mouse down and that should automatically make the widget focused when you press any mouse key then you will be able to type any key and get key down trigger.