The Lord possesses such lovely locks of hair and is known as Keshavah. He slayed the demon Kesi and so is known as Keshavah. The Lord removes all our Klesas or dirt kleśa + nāśana = keśava.
Kesi demon was in the form of a horse and was sent by Kamsa to kill Krishna.
yasmāt tvayaiṣa duṣṭātmā hataḥ keśī janārdhana
tasmāt keśavanāmnā tvaṁ loke khyāto bhaviṣyasi (Viṣṇu Purāņa 5.16.23; Brahma Purāņa 190.43)
O Janārdhana, since you killed the evil Keśī demon, you will be known in this world as Keśava.
His shining rays gives Him the name of Keshava.
sūryasya tapato lokānagneḥ somasya cāpyuta
aṃśavo ye prakāśante mama te keśasaṃjñitāḥ (Santi Parva350.48)
Since my shining rays are called keśa, the sages call me Keśava.
The Lord is the controller and giver of birth- Ka – Brahmā and Īśa – Śiva
ka iti brahmano nāma īso’ham sarvadehinām āvām tavāngasambhūtau tasmātkeśavanāmavān
Here Ka is the name of Brahmā. I (Śiva) am the “Īśa” or the controller of all those who are embodied. The two of us (Brahmā and I, Maheśvara) are born from your (Kṛṣṇa’s) limbs and hence you are known as Keśava. (Quoted by Ādi Śaṅkarācārya, Śrīnivāsa-ācārya, swāmī vedānta deśikān, Pārāśara Bhaṭṭa, Śrīla Madhvācārya, Śrīdhara swāmī, Śrī Madhusūdan Saraswati, Śrīla viśvanātha cakravartī etc and also supported by Harivaṁśa Purāṇa (3.88.48)
Arjuna refers to Krishna as Keshavah in the Bhagavad Gita several times.
Let us chant this lovely name to remove all our Kleshas and shine from within. Kanakadasa composed the famous Kshavanama (Isha ninna chanara Bhajane), this is a good cleanser too.
Nama 23 – VishnuSahasranama