Add this to a new URL Override (in Options -> Integration):
Scheme: ssh
URL override: cmd://C:\PROGRA~2\WinSCP\WinSCP.exe -ssh {USERNAME}:{T-CONV:/{PASSWORD}/Uri/}@{URL:RMVSCM}
Adjust path to WinSCP if necessary. Then use ssh:// in URL of your password entries.
With double click on URL in List-View of Keepass you can open WinSCP with the desired location and automatic log in. Within WinSCP you can set path to PuTTy and also pass the login to it. Very convinient :)
Have fun