Arduino Leonardo Pro Mini will not begin sketch when connected to BIOS not an OS
Because the computer doesn't have a full OS at POST time any USB keyboards attached to the system have to operate in a special "Boot Keyboard" mode. 


  Keyboards that implement the USB Boot Keyboard profile specified in the USB Device Class Definition for Human Interface Devices (HID) v1.11 and are explicitly configured to use the boot protocol will interrupt the CPU every time the keyboard is polled even if there is no change in state unless the USB controller overrides this behavior, and are limited to 6-key rollover (6KRO). This profile is intended to allow the BIOS to handle a USB keyboard in the absence of a USB-aware operating system. The recommended profile for keyboards that are not in boot mode in this specification limits keyboards to 6KRO and causes them to respond to an interrupt with a status report at least every half second even if there is no state change in the keyboard unless the USB controller overrides this behavior in order to implement typematic (the function that causes keys to repeat when they are held long enough). However, keyboards in non-boot mode are free to implement an alternative HID profile.
  
  -- Wikipedia


Since it was not expected that anyone would be using the Leonardo to operate in the BIOS that functionality has never been implemented. The choice was to implement the entire system, which would have left less room for your sketch, or to just implement the parts that the majority of people would find useful (that is keyboard, mouse, joystick, etc) and leave out the extra stuff, leaving as much room for sketches as possible.

They chose the latter, since as I am sure you are well aware: "The needs of the many outweigh the needs of the one".

For your rather specific case it may be easiest to butcher an old USB keyboard and work out which pair of inputs to the matrix, when connected together, perform the function you require and design some small interface circuit to allow the Arduino to trigger that function.