@SoftCreatR: WinSCP and OpenSSH use different key types. You cannot use WinSCP key for OpenSSH. It does not matter if the key is in
~/.ssh or not. I assume what you mean is it works, if the host works with default key in the default location (like ~/.ssh/id_rsa). If you want to use a different key, you would normally have to explicitly specify it using -i switch on the ssh commandline, right? In such case, edit ssh_config to configure a non-default key for the hosts that have their own keys.
Host example.com
IdentityFile C:/path/key