Blues boss Gianfranco Zola has also looked at Derby striker Johnny Russell and Swansea winger Wayne Routledge.
But Spaniard Nsue, 27, who won promotion to the Premier League with Middlesbrough last season and Frenchman Keita, 20, top his list of targets.
"Emilio has already won this league," Zola told BBC WM.
"He is one of the players we have had a look at but he is not the only one.
"Cheick is very highly rated in Italy and one we have kept an eye on. Juventus and Torino are following him, so he is a valuable player."
Birmingham are interested in former Aston Villa player Routledge, 32, but believe that Swansea, who made two signings on Tuesday, are not really open to selling him.
"Several clubs are interested," said Zola. "But it is hard work trying to sign players from the Premier League.
"It's an interest but we will see what happens. Other teams are looking at the same players."
On 26-year-old Glaswegian Russell, the Birmingham boss added: "Johnny is a very good player who plays in the position we are looking at."
Birmingham City are closing in on deals to sign Middlesbrough's Emilio Nsue and fellow full-back Cheick Keita from Italian Serie B side Virtus Entella.