I can still appreciate the RP aspect of it by not returning the skeleton key. This also includes not pursuing the oath to Nocturnal, and using the cheat console command by completing it without going any further.
No you can't. If you have a fim grasp of what's actually being conveyed to you throughout the quest line, the betrayal of Mercer Frey to Nocturnal and the breaking of the Trinity of the Nightingales are the reasons why the Thieves Guild has been suffering from so much misfortune, and the reason why things turnaround is because the Trinity of the Nightingales is restored and the Skeleton Key is returned to the Ebonmere.
If you skip these steps you get an immersion shattering result that the Thieves Guild prospers for no apparent reason at all and that there's no relationship between the good fortunes of the Thieves Guild and the patronage of Nocturnal which goes completely against the lore.
My characters true desire is to die, and go to Sovngarde.
And I want a pony. Like the song goes you can't always get what you want and you can't use console commands to circumvent returning the key without creating some glaring inconsistencies in what follows afterwards in the questline.
As an aside, I don't recommend doing this because using console commands to skip quest stages can trigger bugs that won't manifest until later on in the game. It's one of the reasons why it's a last resort solution for dealing with bugs because one can end up trading one set of problems for another set of problems down the road in doing so.