Anyway, does anyone have an opinion on whether I should stick with HP Flying on Keldeo or should I change it to a different type?
Even if you change it to a different type, Specially Defensive Jellicent still walls you to hell and back
your set: 252 SpA Expert Belt Keldeo Hidden Power Ghost vs. 252 HP / 252+ SpD Jellicent: 110-132 (27.2 - 32.6%) -- guaranteed 4HKO after Stealth Rock and Leftovers recovery
with Specs: 252 SpA Choice Specs Keldeo Hidden Power Ghost vs. 252 HP / 252+ SpD Jellicent: 136-162 (33.6 - 40%) -- guaranteed 3HKO after Stealth Rock and Leftovers recovery
Hence, you are not getting past it anytime soon.
HP Flying against Venusaur, let's see what happens
it swaps in so it is unevolved:
1) 252 SpA Expert Belt Keldeo Hidden Power Flying vs. 252 HP / 252+ SpD Venusaur: 113-134 (31 - 36.8%) -- guaranteed 3HKO after Stealth Rock
2) 252 SpA Choice Specs Keldeo Hidden Power Flying vs. 252 HP / 252+ SpD Venusaur: 142-168 (39 - 46.1%) -- 19.9% chance to 2HKO after Stealth Rock
Then, Mega Evolution
1) 252 SpA Expert Belt Keldeo Hidden Power Flying vs. 252 HP / 252+ SpD Mega Venusaur: 101-120 (27.7 - 32.9%) -- 90.8% chance to 3HKO after Stealth Rock
2) 252 SpA Choice Specs Keldeo Hidden Power Flying vs. 252 HP / 252+ SpD Mega Venusaur: 124-148 (34 - 40.6%) -- guaranteed 3HKO after Stealth Rock
This shows that Expert Belt Keldeo is too weak to get past Mega Venusaur either. You need the power of Specs (and a little damage on Venusaur) for that. I believe Expert Belt Keldeo was so successful last generation because it can bluff a Choice item and the permanent rain allows it to it neutral targets hard while using HP to demolish would-be counters. This generation, with the HP nerf, EB Keldeo feels very weak though.
EDIT: Forgot to answer the question/ Go with HP Flying then since you aren't hitting anything relevant with Ghost anyway (I don't think they will pick Jellicent now)