She didn't want to be outdone by Spike.
The scoobies thought that, if any one was going to sell Dawn out to Glory, it'd be Spike but he didn't so Tara didn't want to be the one to let the team down.
Of course it's not clear whether Glory's plan was time based eg could she only use Dawn at a certain point and not before or after? If so, then it wouldn't really matter if she knew the key was Dawn, all Buffy had to do was keep Dawn away from Glory until the time had passed. If Glory knew Dawn was the key early on in the season but couldn't use her until the finale, would she have left her with Buffy until the time was right or would she have her hanging around and put up with her until she was ready to use her?
If Buffy knew that Glory knew that Dawn was the key but couldn't use her until the finale, would Buffy have pretended not to know so Glory would be lured into a false sense of security by leaving Dawn with Buffy thinking she could just take her when the time is right, but Buffy does a runner with Dawn at the last moment, thus keeping Dawn out of Glory's reach until the time had passed?