Let $n = \max(k, m)$. We have $$ (BA - \lambda I)^nBv = \left(\sum_{i = 0}^n \binom ni\lambda^{n-i}(BA)^i\right)Bv\\\ = \left(\lambda^nI + \sum_{i = 1}^n\binom ni \lambda^{n-i}B(AB)^{i-1}A\right)Bv\\\ = \left(\lambda^n B + \sum_{i = 1}^n\binom ni \lambda^{n-i}B(AB)^{i-1}AB\right)v\\\ = B\left(\lambda^nI + \sum_{i = 1}^n\binom ni \lambda^{n-i}(AB)^{i}\right)v\\\ = B(AB-\lambda I)^nv = B0 = 0 $$ So yes, indeed, if $v$ is a generalized eigenvector of $AB$ with generalized eigenvalue $\lambda$ and generalized eigenvector $v$, and $Bv\
eq 0$, then $Bv$ is a generalized eigenvector of $BA$.