got keys, not sure if redeemed.

Ninja Retreat

You can always use this, but you won't get any CV of course.

https://www.steamgifts.com/discussion/hK2kQ/orphan-keys-drop-thread

Depending on the game, I may want some.
If one interests me, I might steam wallet a dollar.

Personally, I would agree to delete if the key was used. But its a risk as posting it might be used and deleting is not binding.

To answer your question. If the key doesnt work and the winner of the giveaway does not agree to delete, you'll end up with a key not sent mark.
Closest thing I could find from the faq:

What should I do If I win a game that cannot be activated in my region, or if I receive a gift or key that does not match the game I won?

You should contact the giveaway creator to return the gift, and to inform them of the situation. If the giveaway creator is able to provide you with a replacement gift or key for the same game that can be activated in your region, then you should mark the gift as "Received".

In all other cases, the gift should be marked as "Not Received". When marking a gift as "Not Received" it's recommended that you leave an explanation in the giveaway comments as a reference for both the giveaway creator and our support team. If the giveaway creator is not able to provide a replacement gift or key, they may ask your permission to delete the giveaway.

banned or worse

Pretty sure being banned is as bad as it gets on SG. At least, I don't think they come to your house and kneecap you if you tick them off too much. I could be mistaken about that. Well, no worries. Pretty sure they'd come after me before you in that case, so I'll give you a heads up if that happens. I mean, after I get outta the hospital.

Can I just specify in the giveaway description

You can, but it's up to the giveaway winner to decide whether to be respectful of your considerations or not. Staff rules don't allow for any sort of custom restrictions on giveaway entrants [though you can apply most any sort of filter to the giveaway itself, prior to their entry].

penalized

Getting a single Not Received isn't going to matter to staff, who look for a pattern of detrimental behavior rather than punishing for any individual NR infraction. That said, it can be a stress to deal with, especially when trying to work through it with public giveaway winners.

While using group giveaways doesn't create any sort of exception to the site's consideration on custom rules, the threat of ejection within well-moderated groups is generally enough to ensure that the majority of users in that group will be receptive to reasonable requests [such as 'please allow deletion if this key doesn't work'] (at least, for those groups who have a consideration toward such things). Add in the significantly lower probability of getting someone viewing you as a faceless key-dispenser [than with a public giveaway], and you're generally safe putting up such keys within a good group (though excessive amounts of invalid keys will still likely not go over well).

The use of puzzles, SGT filters, or group giveaways as locations for keydrops will usually also work to get you a confirmation of reciept by the key-taker (unlike with public keydrops, where that sort of confirmation is remarkably scarce).

If you've got trusted traders to work with, you can also try trading your keys to them, in exchange for keys they're more confident of working. You'd go first, which increases the risk when dealing with a non-trustworthy trading partner [given that you already have an expectation of the key not working, which can be tempting for scammers], but it's otherwise a favorable way of handling things.

Create a train for a group with not many members (like an event for them, so they agree to delete the ga in case of dupe)

Create a whitelist recruitment thread and ask people to write in comments that they agree to delete the giveaway if it won't work. Make it a criteria for whitelisting. Then create whitelist only giveaway and voila, you can delete any giveaway that the key didn't work.

lovol's idea is great.

Since no one has to agree to delete a giveaway for any reason (some people seem to conveniently forget that little tidbit), and you don't want any NRs on your profile, your best bet is to give them away to friends or key drop them.

I just give them away when this happens. Either to a friend, or as part of a competition that doesn't involve an official SG giveaway, or on rare occasions I sneakily look through peoples' wishlists then send them the key in a message if I find it. That last one takes a lot of work tho!