It's far from uncommon to be told, when leading a tune, that you're in 'the wrong key' because those 'in charge' have decided that the session is being conducted in something else (almost invariably D). But I haven't actually encountered anyone who'd play across someone else in a different key (apart from those who confine themselves to one entirely of their own invented temperament). If you are accompanying vocals, obviously you play in the key the singer has chosen (provided that it's recognisable). If it's not, or if your instrument lacks some of the notes you need, then you don't play and next time perhaps bring something that's fully chromatic.