This is a standard Win32 kernel error code. The kind of code that GetLastError() returns, so the set of possible values can be found in WinError.h. Note that these are not HRESULT values.
// The configuration registry database is corrupt.
//
#define ERROR_BADDB 1009L
// The configuration registry key is invalid.
//
#define ERROR_BADKEY 1010L
// The configuration registry key could not be opened.
//
#define ERROR_CANTOPEN 1011L
// The configuration registry key could not be read.
//
#define ERROR_CANTREAD 1012L
// The configuration registry key could not be written.
//
#define ERROR_CANTWRITE 1013L
// One of the files in the registry database had to be recovered by use of a log or alternate copy. The recovery was successful.
//
#define ERROR_REGISTRY_RECOVERED 1014L
// The registry is corrupted. The structure of one of the files containing registry data is corrupted, or the system's memory image of the file is corrupted, or the file could not be recovered because the alternate copy or log was absent or corrupted.
//
#define ERROR_REGISTRY_CORRUPT 1015L
// An I/O operation initiated by the registry failed unrecoverably. The registry could not read in, or write out, or flush, one of the files that contain the system's image of the registry.
//
#define ERROR_REGISTRY_IO_FAILED 1016L
// The system has attempted to load or restore a file into the registry, but the specified file is not in a registry file format.
//
#define ERROR_NOT_REGISTRY_FILE 1017L
// Illegal operation attempted on a registry key that has been marked for deletion.
//
#define ERROR_KEY_DELETED 1018L
// System could not allocate the required space in a registry log.
//
#define ERROR_NO_LOG_SPACE 1019L
// Cannot create a symbolic link in a registry key that already has subkeys or values.
//
#define ERROR_KEY_HAS_CHILDREN 1020L
// Cannot create a stable subkey under a volatile parent key.
//
#define ERROR_CHILD_MUST_BE_VOLATILE 1021L
A comprehensive list of possible error codes from RegOpenKeyEx would be quite large and likely to change with each version of Windows, You should be prepared to handle any Win32 error code.
Edit: Apparently the error for a non-existent key is ERROR_FILE_NOT_FOUND.