5 months late here, but I got this!

Custer had his ears punctured so he would listen better in the next life, Keogh was an absolute badass. Indians did not mutilate those they respected. Respect was gained on the battlefield.

My theory is both Custer and Keogh were highly decorated soldiers that would have fought bravely at the end. Indians respect this.

Another theory that has been mentioned is that Keogh wore a necklace of the lamb of god and that the Indians thought of him as some kind of holy, or medicine man. He also had his medals from the pope on him, so that could have dissuaded some of them.

Personally I disagree with this theory and think Keogh died with his boots on. We know this because he was surrounded by his company and company flag until the end. We know that Keoghs horse made it through the battle badly injured, and judging by Keoghs shattered knee and the bullet matching on Keoghs horse, odds are the horse and him fell together and Keogh continued fighting.

Indians respect bravery, and Keogh was a badass long before the battle of the little big horn.