Is there a key for the map icons in game?

Yes, there is an in-game key for map icons

• Open the full-screen map page by double tapping the quick map button.

  • PC: Tab, Xbox: LB, PS4: L1, Switch: L

• Use the "pins" button to toggle showing or hiding the map pins & key

  • PC: P, Xbox: Y, PS4: △, Switch: X

_{Screenshot via bapanada}

Yes, there is!

These are actually called Map Pins, and they are sold by Iselda in Dirtmouth. You must own the pins before they will show up in the map legend, and a full list is located in the Hollow Knight wikia. To open the legend on your map, refer to Stevoisak's answer:

• Open the full-screen map page by double tapping the quick map button.

  • PC: Tab, Xbox: LB, PS4: L1, Switch: L

• Use the "pins" button to toggle showing or hiding the map pins & key

  • PC: P, Xbox: Y, PS4: △, Switch: X

An example of some can be seen below:

Map pins are used to mark locations on the map. Many are sold by Iselda in Dirtmouth, while others will have their unlock condition noted. The 4 markers sold by Iselda can be placed on the map on the inventory screen. Each set contains 6 markers.

In addition, there are vendor pins that, much like the map pins, mark the vendors on your map.

These aren't the map markers I'm looking for?

Now, if you are talking about map markers, these are seperate mechanics that allow you to mark a location on the map for yourself. They have no actual in-game meaning tied to them.