Those sales are separate, like most steam-games are. The outside-activation thing you're talking about is somewhat limited, according to the "Retail CD-keys" entry at support.steampowered.com, only these games can be activated:
Valve Games, Alpha Prime, Dark Messiah, Dawn of War Soulstorm, Dawn of War II, Defense Grid, Empire: Total War, F.E.A.R. 2: Project Origin, Football Manager 2009, GTI Racing, GTR Evolution, The Last Remnant, Lost Planet: Extreme Conditions (but not Colonies Edition), MLB Front Office Manager, NBA 2K9, Prey, RACE - the WTCC Game, RACE 07, Ragdoll Kung Fu, Railworks, Red Orchestra, SiN Episodes: Emergence, Saint's Row 2, The Ship, Silent Hill Homecoming, Speedball 2 - Tournament, STCC - The Game, Unreal Tournament 3, Velvet Assassin, Worldwide Soccer Manager 2009
As you can see, no Telltale games on that list, actually, quite few games on that list, so It's more an exception rather than a rule if the game at hand happens to be on it. With Steam showing around 714 available titles for purchase overall, doing some quick guesswork and estimation, that means that less than 10% of all games on steam can be activated from a retail key.
Besides I don't see a problem here at all, download the game from telltale (which has more or less the same limitations, that is you can download and play on more or less any computer you want to play on), then add a shortcut in steam.
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