How to directly change a circle to a square in Keynote?

Well.. as with so many things like this, the devil is in the details.

It is actually possible to change a circle to a square, but I'm guessing there's more to the question than that.

If you have a circle object on a slide, you can ctrl-click that circle and choose Make Editable:

You then get 4 'handles' on the circle indicating its 'corners'. Double-clicking these toggles between curved and square corners:

(here with three of the 4 corners converted).

You can also drag out the corners to distort/extend the shape, or double-click to add a new vertex

On the fourth corner, you now have a square converted from the circle. Granted, it's not a one-click thing like in PowerPoint, but it is possible.

That said, there are caveats that may make it moot anyway.

Once converted to a square, Keynote doesn't consider it the same as the previous circle object. This means you can't easily make a transition from circle to square using Magic Move (or similar transitions). If that's your goal you're out of luck, and for that reason along it may just be easier to create a new square object rather than convert the circle to a square.

However, there may be cases where editing the shape is sufficient. Depends on what you're trying to do.

Unfortunately, Keynote doesn’t have a “Change Shape” feature like PowerPoint. You’ll need to insert a square manually instead.