Like everybody else said, there are better ways to do this. I'd just like to note that if you, for some reason, don't want to use any of the normal looping constructs, you can use a do{} with no while() clause:

sub NEXTKEY {
  my $self=shift;
  my $lastkey=shift;
  do {
    $key=$KEYS[$self->{INDEX}++];
    next if ($key eq $self->{FIRSTKEY});
    return($key);
  }
}
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