While not one in the Keen series, the Dopefish in Secret of the Oracle has since evolved into this, making secret cameos in unrelated games, from 1994's Wacky Wheels to 2011's Deus Ex: Human Revolution.
Other Keen-related items have shown up in other games as well:
The teddy bear from episode 1 is a point item (exact same sprite, even) in Secret Agent.
Keen's helmet in a couple of slime pools in Crystal Caves. The story mentions "Yorp herding" and the name "B. Blaze" appears in the high scores as well.
Keen is mentioned in one level of the original Duke Nukem.
Commander Keen's name is in the high score list for Monuments Of Mars, which also features a Garg-like enemy.
A secret in the second episode of Paganitzu features a Yorp wearing Al's hat. Al is meanwhile talking about a strange dream he had about Commander Keen which sounds suspiciously like an ad for the game...
In one level of episode 5, some pipework forms a swastika (a reference to the then-forthcoming Wolfenstein 3D, although the swastika is actually the mirror-image of a Nazi swastika) and other pipework below it spells out the name of John Romero. In another level, pipework spells out the name of Tom Hall.
Fan Nickname: Billy's pet Yorp is usually called Mort among the fans, even though it is never called this in the game, its food bowl says "Spot" on it, and Tom Hall in the Keen FAQ, confirms that its name is indeed Spot.
Keep Circulating the Tapes: The full version of Commander Keen 6: Aliens Ate My Babysitter. To demonstrate how far lost this game is, you can't even get it on Steam, where you can otherwise get the full series (not counting the Gaiden Game). This is because the sixth game was published by another company which has since gone under. ID was approched by FormGen to put out a retail title and decided to give them episode 6 and make it stand alone from the Goodbye Galaxy series, making it a two episode series where Apogee usually sold titles in sets of three.
What Could Have Been: id tried to publish the first game through Softdisk, as they already had a contract with them. Softdisk rejected it because the game didn't work with CGA.