Answer
The AT+PKEY nnnnnn command, used by AT Interface to configure a static passkey, is an on-the-fly command and will not be persistent through a power-cycle/reset. Only S Register settings, using the ATS & AT%S commands, can be saved using AT&W followed by ATZ. All other AT commands are on-the-fly.
NOTE: Using a static, pre-programmed, passkey makes pairing vulnerable to MITM attacks.
For additional information on configuring a static passkey with AT Interface please refer to the appropriate AT Interface User Guide for the Ezurio (formerly Laird Connectivity) module you are working with linked below:
User Guide - AT Interface Application - Lyra Series