"algid parse error, not a sequence"on initialize private key of RSA

You get this error because you are reading a PKCS#8 key file, but your file has a PKCS#1 format (PKCS#1 has the BEGIN RSA PRIVATE KEY header while PKCS#8 has the BEGIN PRIVATE KEY header).
In order to read both PKCS#1 and PKCS#8 PEM files, I use the source code of Apache JMeter's org.apache.jmeter.protocol.oauth.sampler.PrivateKeyReader :
PrivateKey pk = (new PrivateKeyReader("/path/to/myfile.der")).getPrivateKey();
 
Alternately you can conver your mykey.pem to DER format and use your existing code. Following is the openssl command to do that

//generate PKCS#1 key openssl genrsa -out mykey.pem 1024 //generate public key openssl rsa -in mykey.pem -pubout > mykey.pub //Convert to PKCS#8 openssl pkcs8 -topk8 -inform PEM -outform DER -in mykey.pem -out mykey.der -nocrypt