The Prime Minister said he was not briefed about the drone strike which killed New Zealander Daryl Jones in Yemen last year.
"I wasn't aware of ... and didn't have any involvement or prior knowledge of that particular strike.
"What I can say is that New Zealand has internationally in the past ... gathered information, Afghanistan is an example of that, and that information is given to ISAF [International Security Assistance Force].
"What ISAF used that information for and how it's actually used, I don't know but I can't rule out that that isn't used for activities undertaken by the Americans."
Asked whether this information could have led to drone strikes, he said: "It's possible. I can't rule that out."
He added: "It would be in the pursuit of trying to hold to account very bad people."
Mr Scahill also questioned whether Jones was a terrorist, noting that he was not charged with any crimes.
Mr Key said the killing was justified because Mr Jones was linked with al-Qaeda and had attended a terrorist training camp.
He said it was "not in the national interest" to divulge all of the cases in which New Zealand intelligence-gathering had been passed onto international forces, but Afghanistan was the most obvious example.
"They've from time to time built up information about particular people of interest and they've supplied that information now, I'm sure fully with the knowledge that those people would be pursued."
Mr Key would not respond to speculation that another New Zealander has been killed in an overseas drone strike.
"I would strongly urge that you don't speculate on that... As I've said in the past, there are a number of individuals who have put themselves in a very dangerous position, but outside that I won't go into great detail."