The easiest solution for you would probably to burn-in the subtitles (e.g. render the subtitle into the video). This can be done with a multitude of applications like Handbrake, FFmpeg, FCP X etc.
While it is generally possible to show embedded movie subtitles (e.g. subtitle tracks in the movie file) in Keynote, this is not usable for presentations. While the subtitles are shown in the editing view, they are hidden in the presentation view.
Anyway, to show embedded subtitle tracks in editing view:
Open any movie w/ subtitles in QT Player (e.g. your movie added to Keynote), enable the wanted subtitle track in QT Player.
The subtitle setting from QT player carries over to Keynote (for some reason only Apple knows).
Mojave 10.14.4, Keynote 9.0.1
Fixed in Keynote 9.0.2!
Update notes from Keynote in the Mac App Store:
This update addresses an issue that caused closed captions for videos
to fail to play during a slideshow.
Tested, works, subs show in the slideshow now.
Same technique as before (enable subs track in QT player).