If you know what zest is, then you automatically know what key lime zest is. And you also know that it can't really be purchased - you have to make it yourself.

Zest, as noted elsewhere at Ochef, is little shavings from the peel of a citrus fruit. These can either be obtained by dragging a zester across the surface of the peel or by removing strips of the outer, colored part of the peel with a sharp knife and then mincing it. What you want to avoid is getting any part of the white pith under the colored part of the peel, which tends to be bitter.

So what your question really comes down to is, "where can I get a daggone key lime to make me some zest with?" You may be able to find them in your market in the warmer months. If not, buy a regular lime and use that. No one will know.