my %list_of_keys = qw(DNI 1 SNI 1 JRN 1);
my $filename = 'foo,JRN,SNI,bar';

my $regex = join('|', map { "\Q$_\E" } keys(%list_of_keys));

$regex = qr{\b($regex)\b}; # case insensitive?

while($filename =~ /$regex/ig) {
    my $key = $1;
    print "Found key $key\n";
}
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Also look at Regex::PreSuf which builds a better regex from a list of words.

Of course... if you always have a set delimeter you can do something like

my @values = split ',', $filename;

for(@values) {
  print "Found key $_\n" if $list_of_keys{$_};
}
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That is a better way to do it if you have something you can split on reliably