The Optimus Maximus keyboard showed why OLED was a bad choice for the keyboard. Chyrosran22 did a review of a used one that had severe burn in on all the keys.
It would be interesting if someone could make a screen key cap that was compatible with Cherry MX or Alps switches. The problem is with communication and power delivery, though. Could NFC power a tiny E-Ink display?
I think mini/micro LED displays are the future of making something like that work without burn in issues. They are small and flat enough that you could fit in whatever key you want to. There will be a lot more wires involved although, as each key cap will have a mini display in them in front of the switch, and I'd worry about that wire eventually breaking from the constant moving of that wire inside the keyboard key.
I think e-ink requires a side-light rather than backlight, as the little spheres are opaque, with a dark side and a light side that physically reorient, meaning illumination from a backlight would have to somehow shine through the dark side, when the dark side faced the backlight, but be blocked by the dark side when it faced outward.
Maybe someone can up with a UV transparent dark side and a fluorescing light side or something.