The openssl documentation says that file supplied as the -in argument must be in PEM format.
Turns out that, contrary to the CA’s manual, the certificate returned by the CA which I stored in myCert.cer is not PEM format rather it is PKCS7.
In order to create my .p12, I had to first convert the certificate to PEM:
openssl pkcs7 -in myCert.cer -print_certs -out certs.pem
and then execute
openssl pkcs12 -export -out keyStore.p12 -inkey myKey.pem -in certs.pem