I'd say there are a potential variety of issues here. First off, could you advise how you are actually using PGP?
From your decription, I can only infer that you receive files that are first encrypted by external parties before sending, and all you do is decrypt and use the files. Is that correct?
Without any information on the external parties, or any indication of the kinds of errors you're encountering, there is little we can offer to help.
At the very least, I'd recommend you ensure you and all the entities sending you files, are all running the latest version of the software. The main reason for this is because v10.4.2MP1 and later versions dropped support for files potentially susceptible to the EFAIL vulnerability.
Beyond that, and specifically regarding Workday, it sounds like their system is not working correctly. Encryption against your key should happen locally on their end before the file is even sent over SFTP, therefore it sounds as if that if failing to happen if it arrive in clear text when you receive it (I assume here that you don't have some automated process in your SFTP server to decryp files on arrival, and if you did, that you checked the logs.)
A key needs to be assigned to an entitiy, but in the case of file encryption, and as you've found with your other venders, it need not be an email address. The external party may just need some help and guidance. Is it possible your company is the only party for whom they have to encrypt files in this way? Perhaps offering your own experience would help?