Take a look at the Audio tab (under Document), specifically "Soundtrack." This is probably what you want.
From the Help:
When you add a soundtrack to your presentation, the audio begins playing when the presentation starts. If there are slides that already have audio or video, the soundtrack also plays on those slides.
A file added as a soundtrack always plays from its beginning.
- Click the Audio tab at the top of the sidebar on the right.If you don’t see a sidebar, or the sidebar doesn’t have an Audio tab, click in the toolbar.
- Click , then select a song or playlist.
- Click the soundtrack pop-up menu, then choose an option:
- Off: The soundtrack doesn’t play.
- Play Once: The soundtrack plays through the presentation and doesn’t repeat if the presentation is longer than the soundtrack.
- Loop: The soundtrack repeats until the presentation ends.
If you want to play your presentation on a different computer or device, choose Keynote > Preferences (from the Keynote menu at the top of your screen), click General, then select “Copy audio and movies into document.” Doing so ensures the soundtrack is available whenever you play it.
Some media files are protected under copyright law. Some downloaded media may be played only on the device where the download occurred. DRM (digital rights management) protected music can’t be added to the presentation soundtrack. Make sure the computer you’re using has permission to play all the media files included in your presentation.