HSM keys are prefixed keys. They are created with a unique identifier that is pre-fixed by the hsm keyword and the slot number in the form: hsm::<slot_number>::<key_identifier>
For instance, the key hsm::1::mykey is a key stored in the HSM slot 1 with the identifier mykey. Technically, this identifier is stored in the LABEL field of the key object in the HSM.
Non-prefixed keys are considered KMS keys and are stored in the KMS database.