There's no 'out of the box' way to make the Key field of a Keyword mandatory, unfortunately.
I recommend that you do this using the Tridion Events System.
It should be quite simple to write the code that intercepts the save action (as it's initiated) and prevents the successful saving of the Keyword unless the Key field is populated.
You'll probably want to hook into the Events System using the following:
EventSystem.Subscribe<Keyword, SaveEventArgs>(KeywordSaveMethodToCall, EventPhases.Initiated);