With Leopard we lost the Page Setup menu item. I'm not much on printing so I didn't notice this till recently. My guess is that the application is supposed to support margins, not the OS. Hence, as noted above, Pages has options for page margins. Unfortunately, Keynote does not. I even looked through the plist but did not see anything there that would change the margins.
I thought about printing the PDF with Preview and found the same issue. Preview doesn't let you set margins.
I did come up with a work around. I export the PDF from Keynote with the slides pushed to the left. Then I open the PDF with Stone Studio Create. Use the open command from the app. This places the PDF in the master layer. Click the icon to show the Master Layers Panel and enable access to that layer. Now you can drag the object to the right to center it. The application treats the entire PDF as one object so this is very easy regardless of the length of the PDF. Now export the document as a PDF and you have it centered. There might be other apps that could be used for this purpose. I stopped looking once I had a solution.