Shapes with holes not editable
It is possible to generate a Keynote shape with a completely enclosed hole (e.g., by creating the object in SVG format in Illustrator, then importing via svg2key), however, if you try to make the shape editable, the hole disappears, and the shape becomes a simple closed curve. You can edit this shape, but you can't get the hole back.
This means that, if you want to use a shape with a hole, you have to create the exact object you want and import it, since it isn't editable (apart from changing its size) once it is in Keynote.
PowerMac G5 Mac OS X (10.4.4)