I've only played with the presentation mode a little, and only using Reflections on the iMac, so I don't know for sure how well it will work with a real projector. You have to active AirPlay in the multitask bar before the activate/disable option shows up in PDF Express.
I do so want the ability to do what the OP wants to do. On a PC, I use Powerpoint for this very thing. You can write on top of any slide if you have a tablet PC. Once done, you can save that annotations or you can delete them. It seems that for this to happen on the iPad, it needs to be a feature built into Keynote, or Keynote needs to pipe out to another app which will respect the Keynote presentation while letting you write on top. I think the former is more likely to happen than the latter. I wonder when will Apple next update Keynote?