Not enough demand nor appetite for Gulf carrier to KEF.
I just got back from Reykjavik this weekend and on top of BA, FI and WOW (WOW flying from STN other 2 from LHR) if you want a Nordic closer transit the options are OSL (FI), CPH (SAS), ARN (FI) and HEL (AY).
On other note Lufthansa will start KEF all year round route in October 2017 - currently they have seasonal FRA & MUC. As other Star Alliance option you have SAS as well..