Think about it this way:
If the question was "what is the chance the first card is an ace", then you would say $\frac{4}{52}$, right? And if the question was "what is the probability the first key is the one that opens the door", you would say $\frac{1}{n}$, right?
OK, so now think about this: is the first card any more or less likely to be an ace than any other card in the deck? Is any key on the ring any more or less likely to be the key you're looking for? No! So, those probabilities are all the same.
I think what you're confused about is the following: Suppose the person with the keys tries the first and second key, and they both fail to be the right key. Then, what is the chance that the third key is the right key? Now, it is of course no longer $\frac{1}{n}$, but rather $\frac{1}{n-2}$. However, that was not the question ... the question was to figure out the chance of the third key in the chain of keys being the right key before we tried any of the keys. And, as such, the situation is exactly the same for every key on the chain: they all have the same chance of being the right key, so they all must have a chance of $\frac{1}{n}$ of being the right key. So, don;t confuse these two questions.
OK, one more: suppose you are one of $n$ people, and you are told to stand in a line, and then someone will randomly pick one of you from that line to give $100$ dollars. Now, if you want to optimize your chances to win the $100$ dollars, where should you stand? And the answer is of course: it doesn't matter where you stand! You all have the same chance of getting picked (assuming this is indeed truly random ...)