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In the title you say SMA Female but in the text SMA male - which is it?
Not that it really matters as the real question is what is the frequency of the signal that you are dealing with?
SMA connectors are intended for high frequency RF signals. The central sire is surrounded by the outer sheath, just as it is for a coal cable. Also they are designed for 50 Ohm impedance which means that they match the impedance of the coax (assuming that you are using 50 Ohm coax of course).
I don't know what the K connectors are intended for but I suspect NOT RF signals. Also they look symmetrical (only by the images I can see I can Google search so I could be wrong) in which case you can easily swap the signal and shield paths if you are not careful.
Therefore the 'what could go wrong' includes high signal loss (impedance mismatch), and possible damage to the signal source (if the K connector is reversed then it could end up driving into the 'ground' at the other end).
The big question to you is "WHY"? Why do you want to do this?
Anytime one starts mixing connector types a great deal of caution is generally appropriate. Performance usually degrades and sometimes the connectors are damaged. https://www.microwaves101.com provides useful guidance. I would point you to their connector page and also suggest that you read the page on "How to trash a cal kit", as it is really about connector concerns. In some cases it is possible to mate different connector types but it rarely is a desirable situation, particularly when the connectors are expensive and high performance is desired.