There isn’t any reason why a collectible coin needs to be delivered if the buyer only wants the private key associated with the collectible coin. A buyer could buy ownership of a collectible coin, and instead of having the seller ship the coin, the buyer could instruct the seller to peal the coin and disclose the private key.
True, that could work.
With that being said, I am still very suspicious of the OPs motivations.
It could also be a scam-attempt, for instance using a fake escrow.