What happens that makes you want to hold Cmd on launch? I don't see any reason that you would do that...
Oh, OK, you still have a Windows keyboard, which has the Windows key in the position used by the Alt key on a Mac. The Mac accepts the Windows key, which is what you would use. It's actually (for Mac use) the Alt key, and you actually press the Windows key. And, you then see the boot-picker screen. Now I understand... (try not to call it a CMD key, it's more accurate to call it Alt)
If you see the USB installer, then (at least for booting on a Mac) it is correctly made. If you don't get to that screen with a USB made using Windows, then that USB is not correctly formatted.
I would suggest that you try with the newest macOS version that you could use on a 2011 iMac, which would be High Sierra. In the end, High Sierra would give you a system install with a lot less possibility of frustration. For example, Safari, Apple's native web browser has real problems on the internet, as network protocols have changed significantly over the years, and Lion's old software is challenging to make useful --- and you will likely end up quickly upgrading to a newer version of the system, even if you get Lion working. And, in my opinion, High Sierra is much simpler to get the bootable installer made correctly, and gives you a better chance of having the rest of your system more usable. (Just my 2 cents on this issue)