This can only be done from on a PC or Mac. The iPad can play embedded audio and video files (i.e not linked, but embedded) if they've been inserted outside the iPad.
There's no way to do this on the iPad itself.
I have inserted an audio feed directly by utilising the camera on the iPad in film mode to capture either a static image or a basic animation. This is undertaken whilst playing the required audio on any other device. This allows me to input the resultant image, including audio straight into keynote. I am able to match the timing and the style/nature of the audio perfectly to each slide. The link on the keynote slide can be resized or hidden with animation as required so as not to divert attention from the slide content.
There are a range of other option available, but not that are quite so simple or effective.
Cheers Richard Fimeri
Here is what I do:
I have a mp3 file which I want to use with keynote on the iPad.
On my PC I convert this mp3 file to an mp4 file (Software SUPER, Output Container: Apple iPad/iPod
Output video codex Divx
Output audio Codex AAC LC)
The resulting/converted file has ...mp3.mp4 at the end of its name.
Then, I sync this file with iTunes under photos - I have a dedicated album for such audio/movie files. You have to make sure that you ticked 'sync movies'.
In keynote I am able to add this audio file to a slide as if it were a photo.
Hope this helps.