How to create an environment in keyshot by yourself?
Studio HDRI or environment HDRI? You can't IN KeyShot, but for the first you probably will be looking for HDR Light Studio, the new release is even much better, unless you have a software like 3D's Max.
For the second type, you need a decent camera and some extra equipment.
You can make your own environment by editing your HDRI
Answered with a tutorial: https://grabcad.com/tutorials/how-to-create-an-environment-in-keyshot-by-yourself