If there's no sustain functionality on the keyboard, I don't think anything can be added that will resemble the normal sustain function in any useful or satisfying way. Sustain pedals on electronic keyboards are momentary switches that keep the note going when you take your hand off the keys, so they continue to decay normally while you play other notes.
The 'momentary' part of this is important-- in order to be useful it has to sustain when you depress the pedal and stop when you lift your foot. That's why a guitar sustain pedal wouldn't work--it sustains the first time you step on the pedal, and keeps sustaining until you step on it again. You can see why that wouldn't work. Also, a guitar sustain pedal does a completely different thing--it adds compression or distortion or something that reduces the rate of decay on the note. If you hooked one up to an electric keyboard, it would sound different, but the note would still stop when you lift your fingers off the keys, so it wouldn't be effective at all.
Pedals are typically of two types--'normal open' or 'normal closed', and different brands use different ones. If you get the wrong one, the piano will sustain when you lift the pedal! It's harder than playing from the wrong side of the keyboard. Some better keyboards will detect the pedal when you turn it on so you can use either type. Also, some newer pedals are more complex, with electrrnics that simulate 'half-pedal' effects, in which case you have to use the original pedal.
I have a friend who bought a Casio for $100 that takes a sustain pedal, and it's not bad. For $400 or so you can get a Casio that you could gig on. They're not bad.
I agree with those who suggested against turning on the keyboard with the pedal connected to the audio jack.