Very interesting mechanic! Although it feels a bit unfair when they still your 'right' key and then run off to the right. You will never be able to get your key back. Perhaps a fix would be to have 'forward' be walking towards the mouse? Then it would still be really annoying if your keys get stolen, but not as backbreaking. Just an idea though :)
Otherwise the game felt really smooth and poslished. The slight screenshake feels good, the health of the enemies is just right, and the difficulty ramps up in a fair way! All-in-all great job! I enjoyed playing it a lot :)