Short answer: yes, I'm always paranoid 😅.

I haven't looked into wireless protocols, but I remember reading something about attacks on Microsoft wireless keyboards because they no or minimal security. At home I'd feel safe-ish but if you're gonna use a wireless keyboard in public, it's probably worth looking if the wireless protocol you're using has some kind of encryption.

There's also the possibility of the USB dongle being malicious. It could contain malware I guess. I'm definitely outside what I know here, but I assume it would show up as a flash drive if it were trying to do something weird.