Both Kdenlive and Openshot use the MLT toolkit:

http://www.mltframework.org/twiki/bin/view/MLT/

Thanks to that, Openshot has the (rough) ability to import a Kdenlive project as a "clip":

http://www.openshotvideo.com/2010/03/import-kdenlive-and-kino-projects.html

I searched the tracker and the mailing list, and I wasn't able to find a feature request for Kdenlive to be able to import from Openshot, has it been considered?

Kdenlive uses an extended version of MLT XML as its project file, which is why melt and OpenShot can load it. However, the native OpenShot project is a python pickle. So, MLT will not support it as a virtual clip. OpenShot is getting a MLT XML export if I am not mistaken that will make it possible only after exporting the project.