I opened a ticket at Humble Bundle support, but they cannot help me, seems that key is region locked indeed, see:

"Thanks for contacting Humble Bundle Support! Alberto here.

I’m sorry to hear you’re having this issue! Unfortunately, when it's about overriding a region to fix a problem with region restrictions, we would have to do it on the whole bundle and since the other keys would be changed as well we cannot proceed without having a talk to the bundle purchaser.

Could you please ask him to enter a ticket so we can handle this accordingly? Thanks in advance."