I think this has to do with the display settings you chose. I have had the same issue, but the display where the menubar is located is regarded as the primary display. So if you have set the menubar on your MacBook to be displayed on the external monitor you probably have to change the setting in Keynote.
Although it is a little confusing at first sight, it actually makes perfect sense and provides optimal flexibility. Remember that the setting for the menubar can differ for DVI or VGA connected external monitors.
You should have a monitor attached to the MacBook. Then go to system preferences and select displays. Fiddle around a bit there, I do not know exactly how it works by heart and I do not have the opportunity to attach a secondary monitor right now. Anyway, you should be able to drag the menubar (represented by a white border at the top of a display) to the other display.
Please remember that this will actually move the menubar to the other display and move your default shortcuts and documents placed on your desktop as well. This method changes the "main" monitor for as far as OS X is concerned. You do not have to relocate the menubar before removing the external monitor. OS X is smart enough to regard the internal MacBook screen as the main screen if no external monitors are connected.
A while back Ron Streicher posted the below instructions on the forum for setting up the presenter display (this is the edited version that our organization uses):
===
Setting up one's laptop to do Keynote presentations can sometimes be tricky, especially if you want to see the "Presenter Display" on your laptop while showing the actual presentation on the projector. Below are set-by-step instructions on how to do this. The first set of instructions are the "quick-and-dirty" version, which gives you the basics, and the second set are more detailed and give more information and options on the setup. Consider copying these instructions and pasting them into a document on your laptop, so that they are always available to you.
*Quick and Dirty*
1) Plug the projector/external display into the Mac.
2) In System Preferences > Displays > Arrangement: be sure that Mirror Displays is NOT checked; be sure that the Menu Bar is located in the monitor icon that represents your computer display.
3) In Keynote Preferences > Slideshow: be sure that the button "Present on Secondary Display" is marked. This will direct the presentation to the projector (or whatever display you have for the audience).
4) In Keynote Preferences > Presenter Display: be sure that the box "Use alternate display to view presenter information" is checked. This will put the presenter notes onto your computer display.
Detailed
1) Connect the projector (or other display monitor) to your computer and turn both on. After they have booted and warmed-up:
2) In Apple System Preferences > Displays > Display menu: click on the Detect Displays button; then select the proper resolution for both your computer monitor and the projector.
3) In Apple System Preferences > Displays > Arrangement menu: be sure that Mirror Displays is NOT checked. This menu designates which of the two displays (i.e. your computer's monitor or the projector) will be the Primary display. If you set the menu bar icon to the top of the rectangle that represents your computer monitor, when you exit System Preferences your computer monitor will have the menu bar across the top and will be the Primary display; the projector will be the Secondary display. This is the most common configuration for giving presentations in Keynote.If you set the menu bar icon at the top of the rectangle that represents the projector (or other display monitor), it will be the Primary display and your computer monitor will be the Secondary.
4) In Keynote Preferences > Slideshow menu: be sure that the button "Present on Secondary Display" is marked. This will direct the presentation to the projector (the Secondary display you designated in step 3 above) for the audience.
5) In Keynote Preferences > Presenter Display menu : be sure that the box "Use alternate display to view presenter information" is checked. This will put your presenter notes and preview information onto your computer monitor.Here is where people tend to become confused by the terminology. In the context of Keynote, the Primary display designated in step 3 above is the "alternate" display because it is the display that is not being viewed by the audience as set in step 4 above. Are you still confused? Yes, the terminology in the Keynote menus is a bit convoluted, but if you read the wording carefully, the procedure is actually very simple.
6) In Keynote Preferences > Slideshow menu: check all of the options that you want to use. I recommend that you check the following options:
• Scale slides up to fit display - this does just what it says
• Exit Presentation after last slide - so does this
• Reduce Cube transitions to avoid clipping - makes these transitions smoother
• Reduce Flip transitions to avoid clipping - makes these transitions smoother
• Show pointer when the mouse moves - lets you use your cursor as a pointer on the screen; eliminates the need to carry a laser-pointer
7) In Keynote Preferences > Presenter Display menu: check all of the options you want to use. I recommend you check the following options:
• Show current slide - this shows you what the audience is seeing
• Show next slide - this shows you what will be next on the screen
• Show notes - these are the cues or notes you have prepared for each slide
• Show clock - this is the time of day to help you keep within your schedule
• Show timer - this is the elapsed time since you began to Play the slideshow
• Show Ready to Advance Indicator - this is a very helpful tool when you have automated Builds or Transitions: it places a bar across the top of your presenter display that will be red while any automated activities are running and then turns green when it is ready for you to initiate the next action by a Click.
A few additional suggestions for a better presentation:
1) Unless you want to "hold" on your final graphic slide to end your slideshow, make an all-black slide as the last slide in your presentation and do a 5-second Fade through Color (black) Transition into this from your final graphic slide. This will provide a clean "fade-to-black" ending for your presentation.
2) Create a "test pattern" slide that you can use to adjust the resolution, size, zoom, keystone correction, and focus of the projectorís image. You can download one of several professional test patterns available by Googling the phrase "video test pattern." Be creative: modify one of these or use it as a model to create your own custom test pattern with your name, company logo, etc.
3) I have found that when I use a VGA hook-up between my MacBook Pro and a projector, I need to do a lot more "fiddling" with the display settings to get everything looking right than if I make the connection via a DVI-D interface. The latter usually is just "plug and play." So, if possible, use a direct DVI-D connection to the projector. However, because most projectors have only a VGA input, be sure always to take with you the adaptor that came with your Mac computer.