Which operating system are you using? Think it got to do with the \ symbol not parsing properly in your terminal, kindly remove it and make the command just one line as follows (modify the path accordingly):

python main.py --base ./configs/stable-diffusion/v1-finetune.yaml -t --actual_resume ./models/ldm/stable-diffusion-v1/model.ckpt -n my_key --gpus 0, --data_root ./training_data/key/

Let me know if the same error still persists.