I’ve not handled an original old key dust cap.
I could suggest that an easy way to make them industrially is by the process of ‘cupping’. This is used to make cartridge cases. A blank disk of ductile material (brass) is pushed repeatedly through a series of holes, progressively becoming a thin-walled tube with a blind end which is then cold-headed.
Those who live in countries where pistol ownership is not restricted to criminals, might find some small calibre cartridge cases of suitable sizes to fit some keys. With a slot cut for the bit, squeezing the tube would make it a springy fit on a key.