Welcome to Android Central! Which device do you have? Was this keyboard designed specifically for your device? Is it connected via Bluetooth or via a physical connection (like a USB connection or POGO pins?)
If you are using it over USB, there is a good chance your device doesnt't support OTG. In my limited experience with low-end phones, some of them (personally checked Lenovo A369i with the MT6572 chip or Microsoft Lumia 535 with the msm8212 Snapdragon 200) lack OTG support as a cost cutting measure.