It's very easy for a mechanic to modify your ignition so that you can remove the key while it's running (by pulling it straight out, not by turning the ignition off). This modification is very popular with ranchers, who like to pull their keys out to mess with their trailer without turning the truck off, especially on super cold days when they want their cab to warm up but can't just leave their keys in there.
I'm guessing that leaving your car running is a pretty common practice that far north.