Demo, MySQL - rextester

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DROP TABLE IF EXISTS `dts`;
CREATE TABLE `dts` (
  `Id` int(11) NOT NULL AUTO_INCREMENT,
  `key1` int(11) DEFAULT '-99',
  `key2` int(11) DEFAULT '-99',
  `serial` int(11) DEFAULT '-99',
  `pr1` int(11) DEFAULT '-99',
  `pr2` int(11) DEFAULT '-99',
  `pr3` int(11) DEFAULT '-99',
  `pr4` int(11) DEFAULT '-99',
  `pr5` int(11) DEFAULT '-99',
  PRIMARY KEY (`Id`),
  KEY `main` (`key1`,`key2`,`serial`)
) ENGINE=MyISAM AUTO_INCREMENT=13 DEFAULT CHARSET=latin1;

LOCK TABLES `dts` WRITE;
INSERT INTO `dts` VALUES (1,1,1,1,0,0,1,0,2),(2,1,1,2,0,0,0,0,0),(3,1,1,3,0,0,0,1,0),(4,1,1,4,1,0,1,1,3),(5,1,2,5,0,0,0,2,5),(6,1,2,6,0,0,0,0,1),(7,1,2,7,0,1,0,0,0),(8,2,2,1,1,1,1,1,2),(9,2,2,2,0,0,0,0,0),(10,3,2,3,0,0,0,0,0),(11,3,3,1,1,1,0,0,1),(12,3,3,5,0,0,1,1,0);
UNLOCK TABLES;

select
	key1, key2, 
	concat_ws(
		',',
		case when max(pr1) <> 0 then 'pr1' end,
		case when max(pr2) <> 0 then 'pr2' end,
		case when max(pr3) <> 0 then 'pr3' end,
		case when max(pr4) <> 0 then 'pr4' end,
		case when max(pr5) <> 0 then 'pr5' end
	) as val
from dts
group by key1, key2;


absolute service time: 0,36 sec