Coppin State (13-18) led 62-61 when McKee stole a pass at midcourt and converted a three-point play to bring the Eagles’ advantage to 65-61 with 24.1 to play.
With the win, fifth-seeded Coppin State advances to play top-seeded Morgan State in the semifinals on Friday.
The Aggies (16-16) couldn’t get a shot off for a potential tie during the game’s last posession.
Ed Jones had 22 points for fourth-seeded North Carolina A&T, which committed 21 turnovers.
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