How to select between labels?

There is no keyboard shortcut for that.

The way I do it (which is very quick and easy) is to tab to the first label, then hold down the Shift key and hover the mouse pointer over audio track in line with the second label. When the pointer is lined up with the label, a vertical yellow “snap line” appears - then Left click.

Ctrl + M

The full “Keyboard Shortcut Reference” is here: Commands and Keyboard Shortcut Reference - Audacity Manual
(also listed in the navigation panel in the left column of the manual as “Commands / Shortcuts”)