How can I make KeyDown play sound near the player who pressed the key?

There are a few steps to this problem;

First: there is a more efficient way to make a function than you appear to have tried. It also appears you may have misunderstood how functions work, or tried to use a different coding language.

game.Players.PlayerAdded:connect(function (Player)
	local Mouse = Player:GetMouse()
	Mouse.Button1Down:connect(function ()
		--Code here
	end)
end)

Above is how you successfully find the mouse, and then connect the click to the code.

On to problem 2: the position of the sound.

To make it play near the player, there are 2 options: place it inside a player part, or place it inside a part near the player, depending on your desired effect.

Solution 1:

game.Players.PlayerAdded:connect(function (Player)
	local Mouse = Player:GetMouse()
	Mouse.Button1Down:connect(function ()
		local Sound = Instance.new("Sound", game.Workspace:FindFirstChild(Player.Name):WaitForChild("Head"))
		Sound.SoundId = "xxxxxxxxxxxxx" -- enter sound ID here
		Sound:Play()
	end)
end)

Solution 2:

game.Players.PlayerAdded:connect(function (Player)
	local Mouse = Player:GetMouse()
	Mouse.Button1Down:connect(function ()
		local Part = Instance.new("Part", game.Workspace)
		Part.Anchored = true
		Part.CanCollide = false
		Part.Position = game.Workspace:FindFirstChild(Player.Name):WaitForChild("Head").Position + Vector3.new(x, y, z) -- Input offset values here
		local Sound = Instance.new("Sound", Part)
		Sound.SoundId = "xxxxxxxxxxxxx" -- enter sound ID here
		Sound:Play()
	end)
end)