Hmm, I was curious so I played around. I added a few keywords to a photo in Photos.
When I drag 'n dropped this photo to the Desktop, right-click > Display Info showed the Keywords were included in the picture.
When I used File > Export in Photos, a screen popped up asking if I wanted to included Title, Keywords and Descriptions, as well as Location Information.
Looks like you might have two ways of doing it.