Yeah, Keen (and all other humans in the Keen universe with the exception of the only black character, Princess Lindsey) are white white white. It's strange, but that's just how it is. And yes, when using white or pale colored weapons it DOES look kinda weird, but it wouldn't be Keen without it.
The Gameboy Keen game ruined it, since it wasn't being done by Id and was just some bullshit cash cow garbage disowned by Tom Hall, creator of the character. Not only does he have an actual flesh tone, but it's orange. Like, Jersey Shore orange. WTF?
EDIT:
...Then I had absolutely no childhood.
I didn't play his games, so I didn't know... *Goes to Metalman's v1C Stage, sits in Hole of Shame*
Dude, seriously, check them out. Get Dosbox, download the shareware games Keen 1 and Keen 4. Keen Dreams is in a weird abandonware state so you might find it for download as well. Keen 6 isn't availible anywhere anymore so it's warez but you could probably find it easier than the others. Plus there are three huge mods made that allow you to play three whole episodes (fan episodes mind you) for free. Finally, the others are really cheap and on Steam I believe.