Is there any way to keep the Skeleton key, and still become the master of the thieves guild? Seems like I can't end the quest line without returning the key to Nocturnal. And I want to keep it, like I could in Oblivion.

Then keep it, no reason to do something you don't want to. Besides the thieves guild in this game isn't exactly spectacular.

No way to keep it without using the console.

You can't keep it without the console, However there are lockpicking perks.