If Kennen, Keeper of balance is played from hidden and I gust her before the trigger ability resolves, is that okay?

Yes, you can Gust her in response — but it won't stop the stun trigger.

Kennen's "When you play me" is a Play Effect: it goes on the Chain after Kennen finalizes and enters the board (Rule 383.4.a.2). By the time you get priority to react, the Kennen player has already paid [2] and chosen the stun target during finalization (Rules 383.3.a–b). Once it's on the Chain, the trigger resolves independently of its source — Gusting Kennen back to hand (legal, since she's 2 Might and Gust has Reaction) doesn't remove the trigger, and the chosen unit still gets stunned as long as that target is still legal.

Gust only matters here if the stun target was Kennen herself — that would fizzle the trigger. Otherwise, all Gust accomplishes is clearing Kennen off the board (no future attack triggers, no +2 Strength from the stun). Note the stun target must be at the battlefield Kennen was hidden at (Rule 811.1.d.2).