You can run the nrfutil nrf5sdk-tools keys generate to generate a private (signing) key and store it in a file in PEM format. To see the list of options, run the nrfutil nrf5sdk-tools keys generate --help command.
For example, enter the following command to generate a private key and store it in a file named private.pem:
nrfutil nrf5sdk-tools keys generate private.pem