We prefer people to sell files with their game, but we do allow some people to sell only Steam keys since for some game's it's not possible to make a standalone build. If you'd like to do that please send a message to support@itch.io and we can enable it on the project page you need it for. You should have the page for the game already created, but it doesn't need to be published.
Hello Leafo,
We have the same issue. We cannot make a standalone buid, because we have Steam Cloud, Steam online subsystem and other Steam features like the Steam beacons because we are developing the multiplayer.
We sent 3 messages to support@itch.io asking for advice in this case, but we haven't received response.