Kara told him most likely,since Rhea bragged about it to Supergirl just before the Super fight started. That happened in the previous ep.

The previous showed her holding them up in front of her. I didn't see that ep but did she at least question what all those keys were for?

One thing I didn't get is why Emma didn't suspect the key chain before this? She already knows all about the key chain as the previous intro showed, so why did she act all surprised when Henry gave them to her?