The hitman would not want to contact a client after he had "done the job" fearing an evidencial link and possibly getting caught for the crime. He wanted to leave an object for her that would signify that he had completed the job. I think he simply chose the key because it would not seem too out of the ordinary or overly suspicious but would be obvious enough for somebody who is looking for it to find it.
Now, we know that she subconsciously worked many thoughts/items/images from her waking moments into her dreams. The blue key had a very strong emotional implication (that the "hit" was completed) therefore, I think she simply worked the key into her dreams.
Kind of like when you were in school and you would have "school dreams" or "test dreams" the night before a test.