Hello Matteo Pagani ,
I'm sorry I couldn't reply earlier and thank you for your suggestion.
I did what you suggested and this works perfectly in debug mode but when I build my application with release mode and run it, it immediately crashes and closes. Then I tried to debug in release mode with Visual Studio 2019 Community Edition, in the KeyDown event context object seems to be null, so I cannot get which key is pressed and cannot send the pressed keycode to javascript side.
For now, I'm using default react native focus navigation feature, without catching pressed keys and sending them from native side to javascript side. And it seems ok for directions, A and B buttons. Without sending pressed key code to javascript side, I cannot use other controller buttons for custom actions, but I think I will use default feature for now and leave the rest. If this issue is fixed or added as a feature in the future, I will give it a try.
Thank you again for your help.