Oh no, don't worry about it! It's Humble's fault not yours. :) And I don't see why you should have to delete the giveaway either! I'm under the impression Humble Bundle has just run out of keys for it at the moment, so presumably they'll eventually restock right?

It just means it'll take a bit longer for me to mark this as received, and/or I might have to mark it as "not received" for a bit until I get the key.

Upon further research, the same seems to have happened for quite a few people -
https://www.steamgifts.com/giveaway/axYV1/ethereal
https://www.steamgifts.com/giveaway/jcKMa/ethereal

And a developer for ETHEREAL said two weeks ago that they "requested" for more keys to give out to HB Monthly customers,, but that it's "getting harder and harder to get more" since they've already "given away a lot" (this explanation doesn't make much sense to me but eh, I don't really know much about how the process works). So who knows how long it'll take or even whether it will be restocked. :P
https://steamcommunity.com/app/751220/discussions/0/3317353727664063804/?ctp=4

"Folks! A lot of you have been asking aroung for the keys, so I just wanted to make a little update about it: we are asking for more keys, but given the fact that we have given away a lot of keys it's getting harder and harder to get more. We probably will get more sooner than later, but anyway: if you can, please help us buying the game! <3 "