you bought it retail and it had no key?
if thats the case I would not even try with the store - i worked for a video game store for a year, we air on the side of you took the key out. Its bad, but its how a store works. If you have a recipt - they MIGHT exchange it for you.
No chance of you verifying on steam, you have to buy on steam to verify on steam.
if all else fails - call GearBox keep demanding supervisors until you get to someone high enough up to get you a straight anwser. (yes, I did work for a company that did billing/support calls too - but that was AT&T)
**
On a lighter note - if you get this worked out, i may re-install borderlands and we can play co-op sometime.