I'd be inclinded to use an independent app to render which key you are pressing on-screen, then just screen capture both applications.

So on Windows, maybe one of these existing answers will suit you?...
Windows utility to render which key I am pressing on-screen

...and I've used Apowersoft Free Screen Recorder (desktop version) for screen capture. It does have appropriate ways of animating what the mouse is doing...

...but I couldn't say how good a choice it was, only that it got the job done for me.

Edit: The APowersoft screen recorder seems to have become trialware. I'm using Open Broadcaster Software now (17 Jan 2017).

I'd be inclinded to use an independent app to render which key you are pressing on-screen, then just screen capture both applications.

So on Windows, maybe one of these existing answers will suit you?...
Windows utility to render which key I am pressing on-screen

...and I've used Apowersoft Free Screen Recorder (desktop version) for screen capture. It does have appropriate ways of animating what the mouse is doing...

...but I couldn't say how good a choice it was, only that it got the job done for me.

Edit: The APowersoft screen recorder seems to have become trialware. I'm using Open Broadcaster Software now (17 Jan 2017).

I'd be inclinded to use an independent app to render which key you are pressing on-screen, then just screen capture both applications.

So on Windows, maybe one of these existing answers will suit you?...
Windows utility to render which key I am pressing on-screen

...and I've used Apowersoft Free Screen Recorder (desktop version) for screen capture. It does have appropriate ways of animating what the mouse is doing...

...but I couldn't say how good a choice it was, only that it got the job done for me.

I'd be inclinded to use an independent app to render which key you are pressing on-screen, then just screen capture both applications.

So on Windows, maybe one of these existing answers will suit you?...
Windows utility to render which key I am pressing on-screen

...and I've used Apowersoft Free Screen Recorder (desktop version) for screen capture. It does have appropriate ways of animating what the mouse is doing...

...but I couldn't say how good a choice it was, only that it got the job done for me.

Edit: The APowersoft screen recorder seems to have become trialware. I'm using Open Broadcaster Software now (17 Jan 2017).