Not sure why the workflow you are using isn’t working, but one thing you could do import and keylight in AE, put your background layer in below the greenscreen footage, then render the entire thing out and import into Premiere.
It isn’t as efficient as the method you described, but you can get the job done this way.
Johnny Cuevas, Editor
Thinkck.com
“I have not failed 700 times. I have succeeded in proving that those 700 ways will not work. When I have eliminated the ways that will not work, I will find the way that will work.”
—THOMAS EDISON on inventing the light bulb.