You don't say what OS version you are using, but based on your description: if you are running OS X 10.7 (Lion) - if you quit Keynote without first closing all open documents, they will be opened again the next time you launch Keynote. To avoid having previous files opening again, close the files before quitting Keynote.
Then best you can do is to have Keynote launch a theme of your choosing or display the theme selection window. Keynote has to know what theme you want before it can open a new file. To select an option, go to Keynote Preferences > General:

Good luck.