Ok, just to make sure I understand your problem I just created a new Keynote file, then created a new folder and saved that file to that folder. Then, I quit Keynote. Using the "Apple" menu, under "Recent Items" and under "Documents" I chose my file and opened it.
Once in Keynote, I used the "File" menu and chose "Duplicate". The file Duplicates in the UI and the new file is named "filename copy". When I choose "Save", the dialog box pops up showing me where to save it, and the bar at the top allows you to change what name you want to save it as. I don't understand the part where you have to look for the duplicated file and then rename it because it's right there to rename before you save it.
It's a little different way of working, but it seems to be a decent enough workaround. Am I missing an important part of your explanation?
The shortcut for Save As in KeyNote is Shift+Command+Option+S. Press & hold those buttons in order and you can now Save As!