If you get an error message that says, "this accessory is not supported by your iPad" when connecting your keyboard to your iPad, it's usually the result of using an adapter that was not manufactured by Apple.
To connect to your iPad, you must use a Lightning to USB Camera Adapter and it must be from Apple. Similar adapters from 3rd party manufacturers may work for a period, but eventually, they'll stop working and trigger the error message.
In some cases, the more powerful Lightning to USB 3 Camera Adapter is needed. This is typically only true for high-end digital pianos.