Never use Instantiate() with UI elements.
Use NGUITools.AddChild(parent, prefab). Look inside that function to find out why.
UIButtonKeys has "select on click" option that should be set to something, but since you are instantiating a new object yourself, it's then up to you to actually select something inside of it (like the "OK" button). Note that in the controller menu example both windows are present in the scene -- one is simply disabled. I'd advise you to do the same thing with your pause menu.