The Celebrity Juice star stumbled upon Katona's collection while snooping around her home in Surrey, according to audience members at a taping of the ITV show.
"At one point Keith pulls open a drawer and inside is a big sex toy and other kinky paraphernalia," an onlooker told The Sun.
"He makes a big meal out of it and the audience just fell to pieces laughing."
The source added that Through the Keyhole panellists Geri Halliwell, Carol Vorderman and Dave Berry couldn't "keep a straight face".
Other finds made by Lemon reportedly include an erotic book at Blur star Alex James's Oxfordshire farm and boxer Amir Khan's naughty collection of chocolate bars.
Lemon was confirmed as host of ITV's primetime revamp of Through the Keyhole in mid-January.
Through the Keyhole originally aired on ITV, before moving to Sky1 and later the BBC. It was initially hosted by Sir David Frost, followed by the likes of Loyd Grossman and Lisa Snowdon.
Katona, meanwhile, suffered more intimate embarrassment today (February 27) when pictures emerged of her wardrobe malfunction at last night's Big Reunion gig.