Could be a defective keyboard if it has never worked at all.
Try the keyboard on another USB port and also on another computer if at all possible. See if the problem follows the connection or keyboard.
You can try holding the keyboard upside down and use the heel of your hand to gently but firmly tap the edges and sides of the keyboard.
Maybe some piece of debris (packing material, bit of plastic piece of metal, who knows....) will fall out thus freeing the key.
Failing that then a return is probably warranted.