Anzio Lite does not support creation or changing of keyboard mapping, macros or scripting of any type, beyond loading a "keys file" which normally defines what should be sent by special keys according to the terminal type which Anzio is emulating. AnzioWin, on the other hand, contains all these capabilities.
Anzio Lite can use keymaps and simple macros created by AnzioWin. It is common for an administrator to have one license to AnzioWin, while other users have Anzio Lite. The admin can then create a set of custom key definitions, save them to a "keys file", and then propogate that file to other users, where their Anzio Lites can use them.
(Keymapping and macros are essentially the same thing in Anzio.)