Steam keys can only be redeemed on Steam, GoG keys only on GoG, neither works the other way round.

As far as I know the physical copy only comes with a Steam key (unlike Dragon Commander where the physical copy came with both, a Steam and GoG product code).

If you happen to come across a GoG code (or trade with another user or whatever), they can be redeemed here:
https://secure.gog.com/redeem
You have to be loged in of course.