You can give the database filename as the command line argument. For example, if you want it to open the file /home/user/MyDocs/Database.kdb automatically, you can do that by changing the Exec line in /usr/share/applications/hildon/keepassx.desktop to Code: Exec=keepassx /home/user/MyDocs/Database.kdb
Exec=keepassx /home/user/MyDocs/Database.kdb