Dolphin allows you to connect to folders on other machines per SSH, but there is no option to specify a key file. But you can add the key to your general SSH configuration (with the added benefit that you also won’t have to specify the keyfile anywhere else, no more -i on the command line!). This is how it works:

1. Locate your private key file, say it’s ~/.ssh/myidentity_rsa.
2. Open or create the file ~/.ssh/config and add the lines

   Host myhost.net
     HostName myhost.net
     IdentityFile ~/.ssh/myidentity_rsa
   

3. Type fish://user@myhost.net/path/to/folder/ into the location bar.
4. Now it should ask for the passphrase to your key.

Done!