HKEY stands for "Handle to Registry Key" and is a typedef supplied in the Windows headers files. The Window architects use the opaque handle scheme that most operating systems use. When requesting resources from the operating system, you are given a "handle" or cookie that represents the real object. In order to protect the internals from changes, the handle is not the actual data. The folks working on the registry system happened to want to differentiate a handle returned from the registry from one returned from CreateFile, for example. Therefore, they called it HKEY.
This was first published in December 2001