It sounds to me like you're doing it wrong. Chances are you have Keynote set in Full Screen mode, which is not the way you want to share via Zoom.
Zoom has two ways of sharing Keynote presentations.
The first is to setup your presentation to show in a Window rather than Full Screen (Keynote -> Play -> In Window)
This then allows the presentation to run in a window alongside other applications.
Start your presentation, then in Zoom you can choose to Share -> Screens -> Application Windows and choose the Keynote window.
During your presentation you advance slides by bringing Keynote (not Zoom) frontmost and running the presentation as you normally would, with Zoom following along.
The other model is managed within Zoom itself. While in your meeting, click Share -> Advanced -> Slides as Background.
You'll be prompted to locate your presentation (both Keynote and PowerPoint presentations are supported, as well as maybe others).
In this mode, Zoom essentially loads Keynote in the background and grabs the presentation. It overlays your camera in the bottom corner, so you're kind of floating above the presentation, which can be nicer than a separate window. You also control it from within Zoom, meaning you don't need to switch apps during your presentation.