Change the link underline color in Keynote

One way to do this would be to have two objects that are exactly the same except for the color, in exactly the same position, then have one build out and one build in at the same time, with the effect set to dissolve. Doesn't work quite right.

You could also have two identical slides except for the color change, then set the transition between the slides to dissolve.

Yes that is possible - you need to exchange the template file within Keynote.

First, save the presentation you want to use as a the new template with a .kth extension. Keynote will not directly let you do that, so you need to rename the file in Finder.

Within the Keynote.app package, find the folder Contents / Shared Support / Templates. To change the defaults of the "White" Theme in standard format, replace Standard.kth in the White folder.

I have also made a step by step guide with screenshots for the method.