...Stealer told me today that they cannot program the transponder, is there any way around this other than buying a new key?
If they can't (as opposed to won't even try) then buying a new key from them won't solve the problem anyway ...
The dealer will order in a new key (most likely charging you for it) and then won't be able to code it to your car anyway ... if what they say is true.
I'd go back armed with this info and ask them what they propose to do about it if you agree to buy a new key off them. If they say that they'll code the new to your car when it gets here, either argue it out with them there and then, or visit another dealer who is more forthcoming.