So, there are two main way’s this can go, and while they are both similar – they follow the same general section for Infinity War. 

1. Ky is on ‘loan’ to Thanos thanks to Meph and Thanos working together ( such as Meph being an ‘adviser’ to Thanos via lies linking Meph’s origins to the gauntlet and the infinity stones).  
2. Ky spends most of the events ( until after the snap ) in Meph’s realm watching everything while eating popcorn. More or less under ‘orders’ not to leave. However, shortly after half the universe is destroyed of life he decides to ‘sneak’ out of Meph’s realm to see what happened with his own eyes.