The goal of keying is to transmit a digital signal over an analog channel.
Modulation is the general technique of shaping a signal to convey information.
Keying is characterized by the fact that the modulating signal will have a limited number of states (or values) at all times, to represent the corresponding digital states (commonly zero and one, although this might depend on the number of symbols used).
When a digital signal is to be transmitted over an analogue baseband channel, the modulation technique is termed line coding.
Bluetooth, for example, uses phase-shift keying to exchange information between devices.