Hello,
I think I may have found a reason, but I also have a few questions, the first of which is why are you using a window listener, the same action could be done with:
setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
and two, why not just implement all the listeners in your class rather than using all those anonymous classes, not that there is anything wrong with that, it's just slightly harder to follow, in my opinion.
as for the the problem of not showing the pane, try calling setVisible(true); after you add it.
as for why the key listener isn't working, try setting setFocusable(true); on your JFrame, and use false for the JLabel and JComboBox. then call requestFocus(); on your JFrame.