iOS and OSX Helvetica Neue Issues Snow Leopard came with HelveticaNeue.dfont (Truetype).
iOS5 also came with HelveticaNeue.
Presumably, a Keynote document created on the Mac, using this font and shared by iCloud to an iPhone will display the same.

But what happens if I install and use the large OpenType font HelveticaNeueLTPro from Linotype?

Conflicts? Flames?
The font file does not travel with the document. There is currently no way to "load" a font onto iOS.  If you want to use a font that is not installed by Apple, your only option is to represent the text as an image. 

I occassionally do this for a font-critical headline but best practice dictates use of iOS compatible fonts in Keynote presentations intended for those devices.

I wouldn't even trust that iOS would (necessarily) default to Helvetica in the scenario you present.