Do you mean Nostr keys, or Bitcoin keys?

As far as lightning you can use it with your own custodial lightning node with alby and it is open source, so it can be relatively "trustworthy"

If you use lightning but don't run your own lightning node you will always be trusting someone else.

If you mean your Nostr key, yes if I am not mistaken , I believe you are trusting them to store your key on their servers but it is one point of vulnerability as opposed to entering your key into every client all over the place you store it in one place. The community and myself have a reasonable amount of trust in Alby and I don't care that much of my Nostr gets comprised it isn't the end of my world.