Because if you get the key once it auto-saves.
Heres a map of the portals:
Green portal reward: New shape
To enter the blue portal you must complete the red one
To open the red one you need to get the 2 keys that the square and circle boss gives you. (once you get a key its always yours so you can use it without getting it again, thats why its not dropping on the 2nd time you beat bosses)
After you beat both bosses, go on the 2 locks and it will open the gates 1 by 1
Beat the pentagon boss to get the last key
Then you can open the blue portal.
(just a reminder, the 1st 2 keys you get are for the red portal.)