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Meaning the publisher (probably some company other than Paradox). For Paradox-published versions it was normally on the back of the printed manual or on a separate slip of paper for EU3 Complete.
(And technically it isn't a 'CD key' since it has nothing to do with the CD or the game itself; really it's a forum/metaserver key.)
It appears it was published by Paradox. It just had an installation slip and a a piece of cardboard folded for stability with the disk. I bought Mass Effect, but that is only other game that didn't come with an obvious code in it, but I took it back because it was unable to be played without it. Complete didn't require it, so I didn't occur to me to do the same thing for it. I also initially thought that registering the expansions would be enough, but when I found out it wasn't I was concerned. Is there something Paradox will be able to do for me? Both of the expansions are worth more than what they are asking for Chronicles anyway.
If you can show Paradox some evidence of purchase (having registered HttT and DW is probably helpful) they might register it for you. I would email Paradox support.