Nathanael thinks carefully. If a spellkey could be almost anything then he just had to remind himself of what was near him at the time he casted his spells.
Of course there was always the air around him, but as the air was everywhere, it seems illogical for it to be a proper key. Back then he wasn't grasping onto something but himself, so if he didn't happen to be a spell key himself, then only thing left he was touching would have been the very ground he stood upon. At the time he first arrived on Avernus he found himself on sharp rocks. The rocks were the very same as everywhere else around the plane, so either it'd be a specific shape of rock or something else. He arrived on top of a magic circle, drawn by some hand with an unknown ingredient. The colour of the circle was mostly charred black, but this wasm ost probably due to the scorching by arcane energy. Nathanael used to draw his own circles and symbols with white chalk, he could only guss what substance devils would use to do the same.
As he crossed the River of Blood he too had cast a spell to fly over it. At this time he stood upon the blood-drenched riverbank, hardly anything else in sight but the desolate landscape and the disgusting flow of rotten gore.
The answer to the riddle must be at hand, but he couldn't quite put the finger on it. On the other hand, If the problem would prove itself as too troublesome he could still go back to the witch and ask about the spellkey.