In here:

{DEVICE_ARRAY.map((device) => {
  const { deviceLabel, deviceValue } = device;
  return (
    <>
      <input
        key={deviceLabel}
        onChange={(newValue) => {
          setOption({
            ...option,
            margin_size: {
              ...option.margin_size,
              [value]: {
                ...option.margin_size[value],
                [deviceValue]: newValue
              }
            }
          });
        }}
      />
    </>
  );
})}

The "root element" of each child is the </>, i.e. <Fragment/>, not <input/>. So you should define the key in the former instead. Although quite frankly, you don't need that Fragment here unless you omitted some components in your posted code.

BTW, you can't use the fragment shorthand if you specify any props in it. i.e. this doesn't work:

< key={deviceLabel}>
</>

Instead, do this

<Fragment key={deviceLabel}>
</Fragment>

Remove the redundant fragment around <input>

import { useState } from "react";

const SIZE_ARRAY = [
  {
    label: "Small",
    value: "sm"
  },
  {
    label: "Medium",
    value: "md"
  },
  {
    label: "Large",
    value: "lg"
  }
];

const DEVICE_ARRAY = [
  {
    deviceLabel: "PC",
    deviceValue: "pc"
  },
  {
    deviceLabel: "Tablet",
    deviceValue: "tablet"
  },
  {
    deviceLabel: "Mobile",
    deviceValue: "mobile"
  }
];

export default function SampleLoop() {
  const [option, setOption] = useState();

  return (
    <ul>
      {SIZE_ARRAY.map((size) => {
        const { label, value } = size;
        return (
          <li key={label}>
            <span>Margin : {label}</span>
            {DEVICE_ARRAY.map((device) => {
              const { deviceLabel, deviceValue } = device;
              return (
                <input
                  key={deviceLabel}
                  onChange={(newValue) => {
                    setOption({
                      ...option,
                      margin_size: {
                        ...option.margin_size,
                        [value]: {
                          ...option.margin_size[value],
                          [deviceValue]: newValue
                        }
                      }
                    });
                  }}
                />
              );
            })}
          </li>
        );
      })}
    </ul>
  );
}