I believe I've read before (I'll try and look it up to cite this) that with Jbuttons you set the mnemonic but you need to access it with the 'ALT' key.
So try 'ALT + B' etc. Let me know.
I cant find the documentation however...
JavaDocs
This is a little
SSCCE example from the website which is a JButton with the Mnemonic 'A' set to it. Indeed, if you press 'A' nothing happens
however if you try 'Alt + A' then the button is pressed.