In general, if your opponent leaves the game while they control your commander due to Keiga—
and you and your opponent were not the only players still in the game, control of your commander will revert to its previous controller (C.R. 800.4). But if no player that is now still in the game has controlled your commander, your commander will be exiled and you can put your commander into the command zone as a state-based action (C.R. 800.4, 903.9a).
and you and your opponent were the only players still in the game, you will win the game and the game will end (C.R. 104.2a, 104.1).
Note that the Commander variant is not synonymous with a multiplayer game; except for Commander drafts, nothing in the rules for the Commander variant under C.R. 903 precludes applying those rules to two-player games (C.R. 903.2, 903.13a).
Note also that the control change effect from Keiga normally lasts for the rest of the game, even after Keiga leaves the battlefield, since it comes from an ability that resolved and doesn't state a duration (C.R. 611.2a). However, if a player leaves the game, "any effects which give that player control of any objects ... end", including the Keiga effect in this scenario (C.R. 800.4).
(See also this thread.)
Note that the Commander variant is not synonymous with a multiplayer game; except for Commander drafts, nothing in the rules for the Commander variant under C.R. 903 precludes applying those rules to two-player games (C.R. 903.2, 903.13a).
Note also that the control change effect from Keiga normally lasts for the rest of the game, even after Keiga leaves the battlefield, since it comes from an ability that resolved and doesn't state a duration (C.R. 611.2a). However, if a player leaves the game, "any effects which give that player control of any objects ... end", including the Keiga effect in this scenario (C.R. 800.4).
EDIT (Jun. 6): Correctness edit.