If I'm not mistaken, Nomura might have said something about this, but all I can think of is him commenting on that particular scene...
Anyways, in order to determine if a keyblade could be destroyed we must first determine how a keyblade is created and naturally what it is made from. We've seen real keyblades destroyed in the past, the PoH Keyblade wielded by Ansem-Riku, and the X-Blade, and those didn't last because they were not created "properly".
So the real question here is this; What is the keyblade? Here's what we know about it...
- It chooses its master
--- by extension it can reject someone it has already chosen (showing some level of sentience)
- Only people with strong hearts can wield them
--- Generally only by keyblade ceremony can you even obtain one
--- The summoning limit is one keyblade per heart
- With the exception of two, every keyblade in this series that we've seen has been of the Realm of Light
- Keychains are metaphysical objects (often based on memories) that when equipped to a keyblade will change it's form
- Keyblades can transform into other objects (just watch what terra's lingering will does with his)
- Keyblades (along with pretty much every other weapon in this series) can be summoned out of thin air
While they indeed hold a physical presence, I don't think they can by physically destroyed... And more than that, I don't think there is a method for a legitimate keyblade to be destroyed, just look at the keyblade graveyard, long after their wielders died, their Keyblades continued on.