2FA and the Security Key options are country specific and may not be available in your region. If the Security Key is available, it would be located in the “Security” section of your PayPal account. There is a heading for Security Key and an “Edit” button on the right hand side. When you click on edit it will ask you to register your mobile device.
PayPal are always expanding their services. If the Security Key is currently unavailable in your country, this may not be for long. Any new products or services offered by PayPal will be notified on the PayPal website.