Focus Keyphrase is a Yoast concept that’s only there to help you write posts – it’s not a Google/SEO concept.
Yoast isn’t compatible (for the Readability analysis or the SEO Analysis) with Web Stories.
That being said, you can set a Focus Keyphrase by clicking on the [M] on the bottom right corner of the Web Story editor and open the Yoast Meta box.
But it would do absolutely nothing at all.