Reading https://en.wikipedia.org/wiki/IBM_Common_User_Access and in particular "All operations could be done with either the mouse or the keyboard;", I checked IDLE's dialogs.

The Windows dialogs accessed as common dialogs work correctly.  I will assume true for other OSes until told otherwise.

The new Query widget recogizes <Return> for [Ok] but not <Escape> for [Cancel].  My omission, easily corrected.

Search boxes cannot set options with keys.  Notepad++ can.

The Options dialog has no key equivalents.