Normally each plot autogenerates a single line entry in the key. If you need
more control over what appears in the key you can use the keyentry keyword
in the plot or splot command to insert extra lines. Instead of providing
a filename or function to plot, use keyentry as a placeholder followed by
plot style information (used to generate a key symbol) and a title.
All the usual options for title font, text color, at coordinates, and
enhanced text markup apply.
Example:
plot $HEATMAP matrix with image notitle, \
keyentry with boxes fc palette cb 0 title "no effect", \
keyentry with boxes fc palette cb 1 title "threshold", \
keyentry with boxes fc palette cb 3 title "typical range", \
keyentry with labels nopoint title "as reported in [12]", \
keyentry with boxes fc palette cb 5 title "strong effect"