Heading styles are special. Why use Microsoft Word’s built-in heading styles? by Shauna Kelly

When you press Enter anywhere in a paragraph other than at the end of the paragraph, Word ignores the setting for next paragraph style. The new paragraph will be in the existing style. You could type a period, backup one space using the left arrow and press Enter. Your new paragraph will stay in the same style.

Otherwise you can assign keyboard shortcuts to styles. Customize the QAT > Keyboard Shortcuts (button at bottom of dialog). I would advise storing the shortcut in the template for your document if it is a custom template, otherwise in your document itself.