Hi Arti D,
If you want to use the opensda to download code with KEIL, you should configuration like the following:
Project->options for target

Please refer to my configuration to select the items in your keil.
If still not ok, please let your board enter in bootloader mode , then send the opensda firmware "MSD-DEBUG-FRDM-KE02Z_Pemicro_v114.SDA" to your board, and repower on again.
You should check whether your opensda is successfully setup in your computer at first.
Wish it helps you!
If you still have question, please contact me!
Have a great day,
Jingjing
-----------------------------------------------------------------------------------------------------------------------
Note: If this post answers your question, please click the Correct Answer button. Thank you!
-----------------------------------------------------------------------------------------------------------------------