The Key to Reserva is a fun little Hitchcock homage that has Marty playing himself, which is also pretty funny. You get the best of both worlds, as it starts off as a mockumentary of sorts about Scorsese making a movie, and then you get to see a sequence Scorsese actually shot for this make-believe project. He pays tribute to - and replicates - Hitchcock well, and I think he's pretty funny here in the lead role (outside the homage sequence).
Sadly, it's also a commercial, which is always going to rub me the wrong way. I guess bills have to be paid, though, and people like drinking champagne. At least this is more creative than most advertising out there, and I think if we're talking commercials disguised as short films that were directed by Scorsese, The Key to Reserva is a good deal better and more inspired than 2015's The Audition, even if that one has the more eye-catching cast.
I'm not sure if anything else by Scorsese counts as a work of advertising, but I'd recommend this one over The Audition any day.