It is true that calculators with an Alpha key have been banned by CAA examination invigilators in the past. It is also true that all reasonably useful calulators have one these days. This problem was discussed at a CAA CGI's meeting almost a year ago. Unfortunately the CAA answer was something along the lines of "we cannot specify exactly which models of calulators are acceptable and which are unacceptable"
In reality most students go to the exams and use calculators with alpha keys without any objection from the invigilators. Rather than worrying about the apha key it is far more important that you get one that is actually useful. One which can take in and give out data in degrees, minutes and seconds, for example is invaluable in GNav.
If you happen to be unlucky and get picked on by the invigilator for having an alpha key, your best bet would be to lodge an objection on the basis of unfair treatment. Most if not all schools would support you in doing so.