Depending on context, which does not exist in this sentence, "They had lost your keys." is just as valid as "They had lost their keys."
It could even be "they had lost his/her keys.
"sus" refers to the keys (llaves) and is plural because "llaves" is plural.
If the sentence was:
They had lost their (or your, his or her) key. It would translate as:
Ellas habían perdido su llave.
La diferencia es que "had" significa el pasado. Es una acción completada y terminada. Es perfecto pasado. "Have" se refiere al pasado también, pero el pasado reciente y aún puede afectar el presente. Es un perfecto presente. Por ejemplo: "Yo había estudiado anoche" significa que el estudiar ha terminado, la acción es completada. Pero, "He estudiado anoche", no dice que el estudiar es completado, El estudiante puede estar estudiando todavía..
The difference is that "had" means the past. It is an action completed and finished. It is past perfect. "Have" refers to the past as well, but the recent past and can still affect the present. It is a present perfect. For example: "I had studied last night" means that the studying is over, the action is complete. But, "I have studied last night," does not say that the studying is complete, The student may still be studying.