I don't have this recording. "High yellow" was well-known black slang. John Hurt, who was about three years older than Keaton, and Sam Butler, who was roughly the same age as Hurt, sang "Some crave high yellow..." or "Some scream high yellow..." in variants of the same blues song. Steve Tarter, about six years older than Hurt, sang (and we shouldn't assume he wasn't trying to be funny)
"Jet-black is evil, so is yellow too
Jet-black is evil, so is yellow too
I'm so glad I'm brown-skinned, don't know what to do."

Vaudeville blues was a mishmash of black folk blues with just about anything else; pretty often real folk blues lyrics were used. Blues music became popular nationally in about 1916, so Keaton most likely would have taken an interest in it roughly then, but some entertainers, such as Sam McGee of the Grand Ole Opry, got interested in folk blues music in roughly 1910 or even earlier.