Kevin Phillips put the Baggies ahead after 25 minutes, but Keogh's cross set up Jody Craddock to level just before the break.
Seyi Olofinjana gave Wolves the lead just after the break, but Phillips struck again to level before Diomansy Kamara grabbed the winning goal.
Keogh's former Scunthorpe team-mates have been on a short break to Spain to celebrate winning the League One title, but they have been following his progress.
"I've been getting loads of texts from Spain where the lads are away," said Keogh.
"I haven't made any plans for a holiday yet - I'm hoping that I will first have a trip to Wembley and a second promotion medal."
Keogh heads to The Hawthorns for the second leg on Wednesday knowing his side need to win the match to have any chance of progressing.
It will also be the Dublin-born youngster's 21st birthday - and he's hoping for a double party.
"I don't want to be celebrating my birthday with an unhappy face," added Keogh.
"Waking up on Thursday and being in the play-off final is the best present I can imagine."