Neither matlab nor the OS keep a record of the key presses. If you don't capture it when it occurs, then it never happened.
If you're using a matlab GUI, you could detect all keypresses (while your GUI has focus) using the WindowKeyPressFcn callback and store the key pressed into a variable. Whatever last value was written in this variable would be the last key pressed.
If you want it to work without a GUI or want to track key pressed even when your GUI is not in focus, then you'll have to hook directly into your OS API most likely via a mex file. An exercice left to the reader... Again you'll have to actively capture the key presses and keep the last one on hand for when you need it.
