Assume for the sake of argument that piracy/theft is wrong.
The are video game sites that, rather than stores that get their products directly from a publisher (e.g. Steam or the Humble Store), buy games from countries where games are priced cheaper. They can then undercut other retailers by reselling the digital key online. It also happens with physical products, but it`s easy with games as they can be sold digitally.
Publishers don`t like this because it allegedly eats in to their profits, though it usually isn`t illegal (hence grey rather than black market).. Regional pricing is done to strike a balance between the risk of piracy, sales and the game budget. However, because these sites don`t operate through standard means, some have been associated with stolen goods.
Basically, if you buy from these sites then the publisher isn`t necessarily getting no money, but they`re not getting what they `should`.