Q: setting keychain but keeps sending verification code to old iPhone

Did you try contact Apple as the say in article

Frequently asked questions about iCloud Keychain - Apple Support

specifically:

How do I set up iCloud Keychain on a new device without another device to approve from?

If you can't access any of your other devices that are using iCloud Keychain, you can still set up iCloud Keychain on another device if you have these items:

• Your iCloud Security Code
• The device that is using the SMS-capable phone number you provided when you first set up iCloud Keychain. A verification code is sent via SMS to this phone number. If you can't access this number,contact Apple Support, who can verify your identity, so that you can complete setup on your new device.

After you complete the setup, your iCloud Keychain will be pushed from the cloud to the new device.

go to my applied and remove all devices and make sure your current devices are there.

https://appleid.apple.com/

iCloud: Apple ID

Try System Preferences/iCloud/Keychain/Options and put the new number there.