Yes I know the key actions tab and I tried to use it, but I think I have not found the logic for this specific purpose.
If I choose the Z key to move forward, for example:
How can I really move forward on pressing Z ? Moving forward is different in every frame: the "next frame" could be the path on the right or the path behind. Gah! It's hard to explain!
In fact the best solution would be in the Actions tab of each scene object, to have the possibility to add a key. Instead of choosing "on Left click", I would have to choose "on Z key pressed". Then I choose the good action.