You will keep the creature at the end of your turn. When the delayed trigger from Kheru Lich Lord triggers, it can't find the creature that was brought back with the first part of the ability, so it does nothing. The reason for this is that when a creature (or any anything) moves zones it creates a new object. This new object is distinct from one that was brought back originally.
Importantly, when the creature that gets blinked comes back, it won't have Trample, Flying, and Haste from the Lich. Again, because it's a different object and is unaffected by the ability of the Lich.
Hope this helps!!
May 28, 2020 7:19 p.m.
It’s always worth checking the gatherer page for cards in question to see if additional rulings are there that might answer your question. From the gatherer page for Kheru Lich Lord:
9/20/2014 If a creature card returned to the battlefield with Kheru Lich Lord would leave the battlefield for any reason, it’s exiled instead. However, if that creature is already being exiled, then the replacement effect won’t apply. If the spell or ability that exiles it later returns it to the battlefield (as Suspension Field might, for example), the creature card will return to the battlefield as a new object with no relation to its previous existence. The effects from Kheru Lich Lord will no longer apply to it.