It does appear that this key is missing. That is the key specified in the stock /etc/yum.repos.d/Rocky-CloudKernel.repo. I’m using the most recent GCP optimized rocky 9.5 image.
That repo file does not appear to be managed by us nor any of our release packages. The provider of the image (I will assume google/GCE) doesn’t install rocky-release-cloud, which would provide the key and the correct repo files.
With that said, the GPG key is now there, so your dnf commands should now work.