No keypress shortcut exists, only the mouse Right-Click and select "edit in"- "Open as layers in Photoshop"
CTRL+E will open multiple photos in PS as separate images which can be layered by a Drag&Drop using the 'move' tool.
Had a bad feeling that was going to be the answer, Unfortunately, the "drag&drop" process is the bit that you cant programme into an action making it not suitable. Working with tight deadlines for this and every click matters
Many Thanks Anyway
You might look into creating custom keyboard shortcuts. I know you can on a Mac. Not sure about Windows. I've done this for using HDR Efex Pro. (cmd+h)
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Keys to press-
[ALT+P,E],^,[ENTER] (Hold ALT, press [p] press [e], release ALT, press 'Up arrow', Press [Enter] )
You might get fast at this.
I programmed this into a gaming mouse, and it is awesome!