Firstly, this is not generally true even in $\mathbb R$. Take $K_n=[-n,-\frac{1}{n}]\cup \{0\} \cup [\frac{1}{n},n]$, then $K=[-1,1]$ is compact, but will not be contained in any $K_n$.
Secondly, $\mathbb Q$ does not even have any such sequence of compact sets. To see this, observe that no compact set has any interior point, so if $K_1\subset\dots \subset K_n\subset \dots$ is a sequence of compact sets, then let $x_0=0$ and choose $x_n\in [-\frac{1}{n},\frac{1}{n}]\backslash K_n$. Then $K=\{x_n\mid n\in \mathbb N\}$ is compact and not contained in any $K_n$.
Remark.
You can generalize the situation in $\mathbb R^n$, however. If $X$ is "exhaustible by compacts", which is equivalent to being $\sigma$-compact and every point having a compact neighborhood ("weakly locally compact"), then there is indeed such a sequence of compact sets. So $\sigma$-compact, locally compact Hausdorff is more than sufficient.
Finally, allowing uncountable sequences of compacts doesn't really let you drop the $\sigma$-finite condition, as you might hope - for example, an uncountable discrete space has no chain of compact sets whose union is the entire space, since every chain of compact sets must be countable (the only compact sets are finite).
Edit: important points from the comments.
As bof points out, there are some cases where allowing uncountable chains will give you an exhaustion by compacts, e.g., the ordinal space $[0,\omega_1)$ with the order topology. I don't know of a general criterion for when a space does or does not have such an exhaustion.
Also, to expand on user14111's comment, since weak local compactness and $\sigma$-compactness gives an exhaustion such that $K_n\subseteq \operatorname{int}(K_{n+1})$ (see the above link for references to a proof of this), the sets $\operatorname{int}(K_{n})$ are an open cover of any compact subset $K$, hence they have a finite subcover. Taking the largest $n$ in this subcover gives $K\subseteq K_{n}$.
PatrickR points out the existence of a sequence of compact sets as you are describing is known as hemicompactness. Note that this is generally a bit weaker than being exhaustible by compact sets, though in the case of first countable spaces they are equivalent.
Finally, it is probably worth pointing out that in the case of first countable Hausdorff spaces (including e.g. metrizable spaces), hemicompactness implies local compactness, and so is equivalent to local compactness plus $\sigma$-compactness.