Is there a way to export a graph made in R in a way that keynote can read the objects of the graph as separate objects and not like a single image?
Usually I export graphs in R as pdf but then Keynote import them as a single object.
As suggested in the comments: try exporting in svg and converting it to keynote shapes. Several tools exist, for instance http://christianholz.net/svg2keynote_svg_to_keynote.html (or through illustrator) and http://mcb.berkeley.edu/labs/zusman/dave/svg2key/
Note: I have not been able to test this idea successfully, they seem to depend on the version of OSX/Keynote)