Here's a sample of a original key chain and factory key set for a CSX2201 and later Cobra 1963-64. Take notice of the Ford ignition key. Cars before CSX2201 used a British Lucas brand ignition switch and key. I have no idea when this was introduced but the medallion art is the same as the S1CS-C mascot emblem introduced with CSX2133 being the first known car to get them.
Its return address is in Venice. They are plated brass or maybe bronze. Lost key sets could be mailed back to Shelby American with the presumed idea they could get the keys to the owner. Automobile insurance companies and some clubs use to provide that key return service.
As far as I know they were included in new Cobra purchases mid 1963 and 1964 until the move to Imperial Highway 1965. After the move there was a new Imperial Highway return address version.
The current auction offering (early November 2020) is missing the chain and ring clasp. Intact original factory key return key fobs and chains are rare. Most I have seen had little plating left on the medallion. Some were severely worn down by years of riding in pockets with other metal. A really nice one has been, on my scale, very expensive since the 1980s.
There was a very different version made in pewter sold as an accessory concurrent to the brass one with new cars. The pewter accessory does not have a mailing address on them.