I have just had the same issue. I am importing a logo I have created in Illustrator, which was done in RGB with specific values. The following methods all produced result that was different than the source…
-Copy/paste the logo from Illustrator with sRGB profile active in the document, and with no profile, with the same result.
-Placing the EPS directly was different again.
-Placing an AI file with embedded sRGB profile. No good either.
I also usually generate a PNG for client to use and when placing this into Keynote the colours were correct. The PNG was created in Illustrator with sRBG profile active. This worked for me, but I have seen other say it does not.
I've seen someone else claim changing the colour profile in Photoshop etc to the same one used by your screen will fix the shift, as Keynote supposedly uses the profile you have in system prefs. I tried this and it made no difference.
I assume the issue is colour profile conversion, but see no method that fixes it. Other than PNG.