import matplotlib.pyplot as plt

f, ax = plt.subplots()
s = ax.scatter([1,2,3,4], [1,2,3,4], s=1000)
s.set_picker(True)

def doit(event):
    if event.name == "button_press_event":
        print(event.name, event.key)
    if event.name == "pick_event":
        print(event.name, event.mouseevent.key)

f.canvas.mpl_connect("button_press_event", doit)
f.canvas.mpl_connect("pick_event", doit)

pick_event 1
button_press_event 1
pick_event 2
button_press_event 2
pick_event 3
button_press_event 3

pick_event None
button_press_event 1
pick_event None
button_press_event 2
pick_event None
button_press_event 3