class-map.ts

class A {
  keya = "a" as const;
}
class B {
  keyb = "b" as const;
}

//  Turned your class map into a constructor map to simplify it.
const classMap = {
    'a': () => new A(),
    'b': () => new B()
}

type ClassMap = typeof classMap;

const pickSomething = <K extends keyof ClassMap>(key: K) => {
  // Simply looking up the function returns the appropriate function type
  return classMap[key];
}

const a = pickSomething('a')().keya;
const b = pickSomething('b')().keyb;
  
const pickSomething2 = <K extends keyof ClassMap>(key: K) => {
  // Why does calling the function change things?
  const f = classMap[key];
  type R = ReturnType<typeof f>;
  const r: R = f();
  return r;
  
}

const a1 = pickSomething2('a').keya;
const b1 = pickSomething2('b').keyb;