Not sure I get that. If you generate it "in the cloud", doesn't it mean that someone else (the cloud) has access to it?

It really depends on what you are trying to optimize for.

If you are doing something illegal or controversial with the key, then yes it would be foolish to store it in the cloud.

If your main concern is it becoming compromised due to a local exploit or physical breach, then I'd argue it is a strong option.