Have you triedTry to just addingadd the TextBox to the main form instead of the DGV?DataGridView:
Controls.Add(txt);
Controls.Add(dgv);
txt.PreviewKeyDown += DgvOnPreviewKeyDown;
txt.KeyDown += DgvOnKeyDown;
txt.PreviewKeyDown += TxtOnPreviewKeyDown;
txt.KeyDown += TxtOnKeyDown;