Hmmm, that's a new one on me -- my best guess is honestly a copy/paste error, that perhaps you pasted in the wrong key, since we've literally never had a bad key through Steam before. Beyond that, if you're sure it's not that sort of error, you can PM me the key in question and I'll take a look to see if it's valid. If it's not I can send you another one, but that will really be a surprise if so. Make sure that you're putting in the TZR key in the TZR slot, not in the slot for the base AI War game, too.
Hope that helps, and sorry for the confusion!