It works fine for me:
private void frmTest_KeyDown(object sender, KeyEventArgs e)
{
if (e.KeyCode == Keys.N && e.Control)
{
Console.WriteLine("CTRL+N");
}
}
At a guess, you don't have KeyPreview set to true, or you have a shortcut key assigned to CTRL+E or CTRL+N which is getting precedence.
If that doesn't help, we will need a load more info on exactly how you are using that code.