I see this post is a year old and you most likely cannot benefit from the solution anymore. But I will post this for others with this same problem.
I had this same problem so, like any, I hit up google. Unfortunately all I could find were people with the same problem and nobody had an answer. I actually found the answer on my own while troubleshooting a different issue.
You have to find the dimension that you set up your Key on. Then from there, within Tableau, right click it and under "Unique Values" Change the option from "Key" to "Name". You will then be able to highlight a selected area or zoom.
Hope this works! Thanks!