Cannot Generate SSH

To generate a new key:
Click Manage SSH Keys:
Click the Generate a new Key icon.
Fill in the appropriate information.
Note: You should consider your needs when choosing a key type, bearing in mind that RSA keys yield a faster confirmation of identity, while using DSA keys will speed up key generation and signing times.
Click Generate Key to generate the new SSH key and automatically install it to the server.

To view or download a key:
Click View/Download next to the corresponding key in the appropriate table. You will be directed to a new page.
Click Download Key to download the key. You can also copy the key and save it on your computer.
Note: When you click View/Download in the Private Keys table, you also have the option to convert the key into .ppk format.
To convert a private key and save it onto the server:
Enter the key's passphrase into the box.
Click Convert. You will be directed to a new page.
Note: At this point, the .ppk key file is saved on the server as ~/.ssh/putty/$file.ppk (where $file is the name of the original SSH key).
Click Download Key to download the converted key to your desktop.

Check the following link and do it step by step:
SSH/Shell Access
And this a visual link. by Puty

 

One more question, Did you do anything in terminal for give the key?
If not, could you get more information from cPanel log?