https://nexla.zendesk.com/hc/en-us/articles/360053720333-Database-Connection-Options
Specifically:
In a text editor, add the below public SSH key to the authorized_keys file. The key must be all on one line. Make sure that you don’t introduce any line breaks when cutting and pasting.
This is the last portion of "Step 1." - this implies each user does not generate their own key, and there is no method to, as there is no where to import a private key within the platform. As far as I can tell this is reusing the same private key for multiple users.
It seems like there is potential for users of the platform to access other user's of the platforms data. Obviously the attacker would not only have to be a user of the platform but also know the database details post-ssh connection. It would also require the use of the same username (but given a default is suggested, seems likely). There is a lot an attacker would have to know to successfully access data they aren't supposed to, but I thought the rule in security is assume the attacker knows every detail of the set up, and make sure it's still secure (0 trust).
Edit: Hopefully add clarity and retract my statement in my first comment. I'm fairly confident after more research and double checking the phrasing that this is re-using one key per user and not good practice. Would love to see a more reputable (or at least a more security focused engineer than myself) confirm or deny this in an answer.