The keepInventory gamerule does not work in the Nether. I have died several times in the overworld and I kept my inventory and xp. In the Nether I drop all of my items. Including a diamond pickaxe, into a lava pool... The last time I died there I saw my items drop on the ground, so it seems like its acting like keepInventory = false. 

Screenshots below show proof that I died in the Nether, and the inventory I was left with. For the record both of my mods are client side(mouse tweaks/JEI), the server is a fresh 1.16.2 server. 

UPDATE: This time I dropped nothing(third screenshot). Another piglin killed me, but this time I kept my stuff. I don't know what causes the inconsistency.