Second City Toronto shared two photos of Keanu with their cast back stage in 1994 on twitter. In the twitter comment they refer to Keanu as a former student. One of the photos with the cast was also posted on instagram.
From this article posted by The Second City, we learn that Keanu studied improv at the comedy club in 1983 as indicated by classmate, Kevin Frank.
Keanu Reeves studied Improv at the Toronto Second City Training Centre in 1983. He was in my class. –Kevin Frank