Can't reduce cost of query plan and get rid of Key Lookup because of cursor
Two solutions were mentioned in the comments to your question.  Let's review both of them.

Use a READ_ONLY cursor


  As the article implies, are you able to use the STATIC and READ-ONLY arguments? – Jacob H 23 hours


That comment refers to Paul Randal's blog post Adventures in query tuning: unexpected key lookups.  This points out that a cursor type is dynamic optimistic by default.  From the Microsoft Docs, you can see that the "optimistic" part is what's causing all your problematic key lookups:


  OPTIMISTIC
  ...
  It instead uses comparisons of timestamp column values, or a checksum value if the table has no timestamp column, to determine whether the row was modified after it was read into the cursor.


So it has to do the key lookups to check and see if the rows you've read in have been modified.

The solution proposed in the blog post, and by Jacob H, is to use a more restrictive cursor type (such as READ_ONLY) in order to avoid these extra key lookups entirely.

Optimize the index


  You can improve part of the Key Lookup to support the predicate by adding Claim_Unique_No to the nonclustered index as a key column. – sp_BlitzErik 23 hours ago


The query is currently using the clustered index to do the key lookup.  

This comment points out that you could add Claim_Unique_No as a key column in your existing nonclustered index (the one being used in the scan: IDX_Claim_Audit...) to support the predicate (it looks like it already supports the output list that you want).