I’m not sure where ConnectBot stores its keys, so I can’t help with the ‘transferring to termux’ part :-)
What I can tell you is that you should be able to generate and use SSH keys directly in Termux. Here’s a quick guide on how to do it: https://gist.github.com/evandrocoan/f503188587587d7b1d1ba8746c9c6107
I’ve switched phones recently, and I haven’t set up my keys yet, but as far as I recall I went through a similar process a few years ago to set up SSH keys on my phone (I haven’t tried the steps in that article myself).
well that was… something