We extend the finite-temperature Keldysh non-equilibrium coupled cluster theory (Keldysh-CC) [A. F. White and G. K.-L. Chan, J. Chem. Theory Comput. 15, 6137-6253 (2019)] to include a time-dependent orbital basis. When chosen to minimize the action, such a basis restores local and global conservation laws (Ehrenfest's theorem) for all one-particle properties while remaining energy conserving for time-independent Hamiltonians. We present the time-dependent Keldysh orbital-optimized coupled cluster doubles method in analogy with the formalism for zero-temperature dynamics, extended to finite temperatures through the time-dependent action on the Keldysh contour. To demonstrate the conservation property and understand the numerical performance of the method, we apply it to several problems of non-equilibrium finite-temperature dynamics: a 1D Hubbard model with a time-dependent Peierls phase, laser driving of molecular H2, driven dynamics in warm-dense silicon, and transport in the single impurity Anderson model.