Welcome to Android Central! Is it already paired, but just won't connect? Or is it no longer paired? If it's no longer paired, it won't show up in the Bluetooth device list in Settings>Bluetooth. If it is paired but isn't connected, you'll see the keyboard in the list -- in that case, what happens if you tap that entry in the list?
If the keyboard is paired but won't connect, have you already tried forgetting the device in the phone's Bluetooth menu, then going through the pairing process again?
When you're trying to pair the phone, is there a Connect/Pair button in the keyboard that you're supposed to press and hold for 3 seconds to initiate the process?