Make sure that you set enableAutoPlay="TRUE" (in JuiceboxBuilder-Pro's 'Customize -> AutoPlay' section) to enable the AutoPlay keyboard controls (the default value for this configuration option is FALSE).
Also, if your gallery is embedded in a page alongside other content (rather than being a 100% x 100% gallery taking up the full page), then be sure to click somewhere in the gallery first to give it focus.
If you want to automatically give your gallery focus after the web page has loaded, then you could try something like the following:

<script type="text/javascript" src="jbcore/juicebox.js"></script>
<script type="text/javascript">
    var jb = new juicebox({
        containerId: "juicebox-container",
        galleryWidth: "600",
        galleryHeight: "400",
        enableAutoPlay: "TRUE"
    });
    jb.onInitComplete = function() {
        $('#juicebox-container').find(':first-child').focus();
    };
</script>
<div id="juicebox-container"></div>

If this still does not work, then please post the URL to your gallery so that I can take a look at the problem for myself and hopefully help further. Thank you.