If CopyQ used under X11 in Linux, it's keyboard shortcut can be set from it's UI. But, that was not working under KDE Wayland Session (Probably, under Gnome or others too).

Workaround

I did a workaround by adding a shortcut from KDE.

1. Search for Shortcuts in start menu search.
2. Open it, and Use Add Command button to add a command of

copyq toggle

1. Set a shortcut to this newly created command.

Credits

https://github.com/hluk/CopyQ/issues/27