It's not (only) about the location. WinSCP cannot not use OpenSSH-formatted keys. It uses PuTTY key format.
See Issue 1797 – Support direct use of other key file formats

Hello,
since Windows now ship with OpenSSH pre-installed, I would be very happy if WinSCP could just use my SSH keys from that. By default the keys are located in %USERPROFILE%\.ssh\. Can you please add such feature, so I don't have to manage two separate sets of keys?

Thank you very much!