Finally find the answer -- Ctrl+Shift+G to flag. Alternatively, Insert also works. The Insert key is better since it's just a single key, but its location on my Lenovo laptop makes the former option better.
Reference: https://support.office.com/en-us/article/keyboard-shortcuts-for-outlook-3cdeb221-7ae5-4c1d-8c1d-9e63216c1efd