Is there any event that fires when keys are pressed when editing a cell?

Here is the answer, I have tested the same and it is working properly for me.

Track the Keypress in Excel

Interesting Question:
MS Excel’s Worksheet_Change event always fired, when you are done with your changes and getting out of the cell. To trap the Key Press event. Tracking of Keypress event is not possible with excel standard or built-in functions.

This can be achieved by using the API.

Option Explicit

Private Type POINTAPI
    x As Long
    y As Long
End Type

Private Type MSG
    hwnd As Long
    Message As Long
    wParam As Long
    lParam As Long
    time As Long
    pt As POINTAPI
End Type

Private Declare Function WaitMessage Lib "user32" () As Long

Private Declare Function PeekMessage Lib "user32" Alias "PeekMessageA" _
    (ByRef lpMsg As MSG, ByVal hwnd As Long, _
     ByVal wMsgFilterMin As Long, _
     ByVal wMsgFilterMax As Long, _
     ByVal wRemoveMsg As Long) As Long

Private Declare Function TranslateMessage Lib "user32" _
    (ByRef lpMsg As MSG) As Long

Private Declare Function PostMessage Lib "user32" Alias "PostMessageA" _
    (ByVal hwnd As Long, _
     ByVal wMsg As Long, _
     ByVal wParam As Long, _
     lParam As Any) As Long

Private Declare Function FindWindow Lib "user32" Alias "FindWindowA" _
    (ByVal lpClassName As String, _
     ByVal lpWindowName As String) As Long

Private Const WM_KEYDOWN As Long = &H100
Private Const PM_REMOVE  As Long = &H1
Private Const WM_CHAR    As Long = &H102
Private bExitLoop As Boolean

Sub TrackKeyPressInit()

    Dim msgMessage As MSG
    Dim bCancel As Boolean
    Dim iKeyCode As Integer
    Dim lXLhwnd As Long

    On Error GoTo errHandler:
        Application.EnableCancelKey = xlErrorHandler
        'initialize this boolean flag.
        bExitLoop = False
        'get the app hwnd.
        lXLhwnd = FindWindow("XLMAIN", Application.Caption)
    Do
        WaitMessage
        'check for a key press and remove it from the msg queue.
        If PeekMessage _
            (msgMessage, lXLhwnd, WM_KEYDOWN, WM_KEYDOWN, PM_REMOVE) Then
            'strore the virtual key code for later use.
            iKeyCode = msgMessage.wParam
           'translate the virtual key code into a char msg.
            TranslateMessage msgMessage
            PeekMessage msgMessage, lXLhwnd, WM_CHAR, _
            WM_CHAR, PM_REMOVE
           'for some obscure reason, the following
          'keys are not trapped inside the event handler
            'so we handle them here.
            If iKeyCode = vbKeyBack Then SendKeys "{BS}"
            If iKeyCode = vbKeyReturn Then SendKeys "{ENTER}"
           'assume the cancel argument is False.
            bCancel = False
            'the VBA RaiseEvent statement does not seem to return ByRef arguments
            'so we call a KeyPress routine rather than a propper event handler.
            Sheet_KeyPress _
            ByVal msgMessage.wParam, ByVal iKeyCode, ByVal Selection, bCancel
            'if the key pressed is allowed post it to the application.
            If bCancel = False Then
                PostMessage _
                lXLhwnd, msgMessage.Message, msgMessage.wParam, 0
            End If
        End If
errHandler:
        'allow the processing of other msgs.
        DoEvents
    Loop Until bExitLoop

End Sub

Sub StopKeyWatch()

    'set this boolean flag to exit the above loop.
    bExitLoop = True

End Sub


'\\This example illustrates how to catch worksheet
'\\Key strokes in order to prevent entering numeric
'\\characters in the Range "A1:D10" .
Private Sub Sheet_KeyPress(ByVal KeyAscii As Integer, _
                           ByVal KeyCode As Integer, _
                           ByVal Target As Range, _
                           Cancel As Boolean)

    Const MSG As String = _
    "Numeric Characters are not allowed in" & _
    vbNewLine & "the Range:  """
    Const TITLE As String = "Invalid Entry !"

    If Not Intersect(Target, Range("A1:D10")) Is Nothing Then
        If Chr(KeyAscii) Like "[0-9]" Then
            MsgBox MSG & Range("A1:D10").Address(False, False) _
            & """ .", vbCritical, TITLE
            Cancel = True
        End If
    End If

End Sub

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