To know that there is people out there that would do such a thing is horrible, but for it to actually happen to someone...thats just crap.

There is a transponder chip in the head of each key, works as a immobiliser.
May be too late or not really helpful at all but I have a key coding book here which has a section on NB MX-5s but it has noted in it, "Two or more programmed keys necessary."So by the looks of it, mazda has made a way to stop people coding in their own keys if they don't have the originals. Probably for cases if a car is stolen or hijacked or something.
But maybe a local mechanic or auto electic has a scan-tool/computer program to do if for you, rarther than mazda charging you an arm and a leg for it. I know with my scan-tool I can program commodore keys but unsure of others. There is better scan-tools out there that are much better than mine.
Honestly, I would go removing the barrel or doing something else that would prevent those ass-hats with your keys from comming back and taking your MX-5.
So it might be too little too late but theres some food for thought.