No, but how expensive it will to replace them depends on what year it is. If its a model year 1998 or newer and sold in the US, you're in luck. It won't be cheap, but you should be able to get a key the next business day after ordering a key from the dealership.
Here's how it works: if the locks are all original (applies to 1998 and newer VW's in the US..don't know about other countries) the dealership can order you an original type "lazer" cut key from the local facing VW parts depot; if the order is normally done before that days' cut off time for priority orders, the item could arrive as soon as the next day. (Where I'm at, the local facing parts depot is in Southern California about 400 miles away). The parts depot will look up the code on the VW computer information system, get the code and cut the key. Be aware the computer gliches happen often and the order might not have been received by the depot.... The least expensive key is the Valet or so called "sub master" key that doesn't have the keyless entry remote on it and if your car has so called "dead bolt" system with the computer recognizing the key, you'll have to pay to have the key programmed to the car. If you have the computer key system, cut at least three (3) keys, as nearly everyone has a fixed charge to programme keys up to 6 keys per vehicle, depending upon year. Keys that have the keyless entry system built on to the key or have the "switch blade" system will be far more expensive, in general those keys start at $125 each and up, depending upon year. Usually the charge to programme keys most places is about one hour of labour at the posted labour rate, though it varies from area to area. Around where I'm at, the charge runs from .75 hour (3/4) to 1.5 hours of labour at the posted hourly rate. As far as I know, most places around the Bay Area charge 1.0 hours of labour to do this job. Only someone who has a VAG com or similiar tool and has knowledge of the process can programme the keys to work!!!! It doesn't have to be a dealership, but before taking the car somewhere other than the dealership, call first!!!!
A special note here: if you're VW dealership doesn't get daily parts orders because of the distance from the parts depot, your dealership can order the key on a priority basis for an overnight order. Keep in mind, there is an additional charge for a NON cancellable priority order; it will depend upon the price, the weight and the distance from the depot. Usually, its a fixed percentage of the wholesale cost + so much per line item. Your dealership can advise on this. A priority order is not 100% certain; the same rules about computer order problems can happen as described above.
If you have an earlier model, your task of replacing the key is far less expensive; most locksmiths can open the door, remove the door handle/cylinder assembly (once the door is open) and impression a key or do it be knowing the VW pin code in the cylinder. Sometimes the handle even has the key code stamped on the handle, so a key can be cut from code. If the locksmith is well equipped, they will have a machine that can cut a key from the manufacturer's key code. Again, it won't be cheap, but at least it can be done right away. A VW dealership can check the VIN and see if a key code is on file for your vehicle; however, if memory serves me correctly, if the vehicle is older than 1995? many times VW does not have a key code on file for the vehicle. VW will only have the info if the selling dealership entered the information at the time of sale. Still, as I said earlier, a locksmith can cut a key using either of the above methods.
You can do order a key from Ebay or other sites; but you'll have to wait at least a day to get a blank key and you'll either have to take it to a dealership, locksmith or independent VW specialist to have it cut anyway. In this case, I'd recommend that the dealership do the job if its a "lazer" cut key instead of running around trying to visit several places to save a few dollars.
Now keep in mind, the above advice only works if the door key is the same as the ignition, while that's probably true 99% of the time, on occassion someone replaces just the ignition cylinder, so that will make things more difficult. Let's keep our fingers crossed that the one key works everything.
Hope this helps, a car nut.
spent many of the last twenty-five years+ in Volkswagen dealership service departments; 35+ years in automotive service