Embedding files in Keynote
Besides images or other media that can natively be placed into Keynote, for a document or binary file of arbitrary format, you would almost certainly have to post it elsewhere (Dropbox/Google/web page) and embed a URL to the sharing link in your presentation. 

Unfortunately, it seems you can't make the URL have the format of file:// instead of http:// You can, however use ftp:// or sftp:// or smb:// !