The file is correct, but that's the "new" OpenSSH private key format introduced in version 6.5 (made default in 7.8). It is only supported by PuTTY starting with version 0.68.
Because your server tries to perform the conversion using an older PuTTYgen version which doesn't support this format yet, you need to tell ssh-keygen to output keys using the older "PEM" format:
ssh-keygen -t rsa -m PEM
Or convert an existing key using the "password change" mode:
ssh-keygen -p -f ~/my_id_rsa -m PEM
Finally, you could also install PuTTY on your own system and use it to convert keys – if you get a sufficiently new version, it'll recognize both ssh-keygen formats:
puttygen ~/my_id_rsa -o ~/my_id.ppk -O private
See other posts for more detail: