The former Manchester United and Republic of Ireland midfielder wore a jumper with several bands on the left sleeve.
Keane was the subject of Wright’s joke shortly after presenter Mark Pougatch referred to Wales needing their captain for tomorrow’s game against Turkey.
Wright quipped: “Yeah, like Roy - he had to keep his armband on his jumper!”
Wright, Pougatch and Keane’s old adversary Patrick Vieira joined in with the laughter before Wright added: “I like it, though, I like it.”
Pougatch said: “Two captains, one armband.”
Wright added: “He’s letting us know he’s the captain.”
Keane quickly saw the funny side but also gave Wright a cheeky hard stare, suggesting the former United enforcer has mellowed with age - but only ever so slightly.
Additional reporting by PA.