Most keyblades I've seen are cosplay props made of flat cardboard to get the elaborate designs and are not suitable to boffing environments. Really, keyblades shouldn't be wielded anyway because they're terribly balanced and unwieldy weapons.

If you REALLY want to make one, though, I suggest getting a piece of thick PVC pipe and foam insulator and making the Kingdom Key/King Mickey's Key. Get some foam and put it up on the tip end to make the actual key design and make it soft yet relatively durable enough to survive impact and not damage someone (although you really shouldn't be attacking with that end anyway).

Then, get some thick or layered cardboard to make the handguard.

If you want to make a more elaborate one, you're talking several smaller tubes of PVC and insulation, as well as melting the pipes to bend them into the appropriate shape.