Keyes' pipe was a gift from his grandfather, likely a corncob pipe, used by the Captain to smoke tobacco. Despite being against regulations, Keyes kept it with him most times, using it to aid concentration - not neccessarily by smoking it, but at least holding it.[1] By the 26th Century, pipes like his had become antiquated, replaced by cigars and cigarettes.
Keyes' Pipe can be found in two missions - in Pillar of Autumn, Keyes removes his pipe from his mouth to address the Master Chief in the second cutscene[2]. The pipe can later on be found on the level Keyes, after the player reaches the Truth and Reconciliation's command center and taken the Captain's neural implants. If the player looks at one of the overhanging tentacles emanating from the Proto-Gravemind, they can find the pipe hanging over the edge.[3]
Unconfirmed, but the player is supposed to a small pillar of smoke coming from the pipe if the player plays through the level on Legendary. Only on the level Keyes. Not the level Pillar of Autumn. Unconfirmed.