Are there any differences in the components or construction of keychain minifigs compared with regular minifigs from sets?
A minifig on a keychain and a regular minifig are essentially the same. They are made of the same components. A couple of additional procedures turn regular minifigs into keychain minifigs.
1.) There is a long screw inserted through the head and neck-post of the minifig to be able to attach the keychain to the loop at the end of the screw. If you remove the screw, there will be a small hole left inside the stud on the head, and on the neck-post.
2.) The leg assembly is fused to the torso assembly to make sure they don't separate during use as a keychain.
In addition, keychain minifigs are made in China, so there is a slight difference in how they look. The plastic has a duller and sometimes a bit more opaque appearance compared to regular minifigs. The printing, however, is the same quality, which is what most people focus on. The difference in the shine/opaqueness is usually only noticed when the keychain minifigs is placed next to an identical regular minifig.