Under Settings > Account > Customizations > Statuses and workflows, there is an "Add workflow" button allowing you to create a new workflow. Key results are not available there today.
Creating a new Key result workflow requires duplicating an existing workflow from this screen instead.
Add "Key results" as an option in the "Add workflow" modal.
This is another example of places in the Aha administration UX that make things feel like everything was patched together without a proper design. This feels like design bug, not an "Idea"