Okay. The functionality you describe does not really exist in current
versions. If you press Ctrl+G and select Heading, you can go to a specific
heading, but Word doesn't provide a list of them. You have to enter a number
that represents the difference between your current location and the heading
you're trying for; that is, if you want the fourth heading after the current
one, you enter +4 (minus to go back). I can't imagine that anyone would
actually use that. Alternatively, if you have the browse object set to
Heading, you can click the browse arrows to jump from one heading to the
next (but all levels are included).
Your best bet, however, is the Document Map, which displays all your
headings. Click on one to go to it. This is a per-user setting, not
something that you can incorporate in a document you intend to share. If you
don't want the DM displayed all the time, you could assign a keyboard
shortcut to it; this would then answer your requirement to have something
that responds to a keystroke.