Implementing hardware backdoors that are opaque to end users is theoretically possible, but more difficult in practice. You could, for example, build a screen/monitor that just captures everything on the screen and forwards it to some other entity, but in practice it's not so easy because of bandwidth limitations, etc. I suppose it would be much easier to create a physical keyboard that phones home over a mobile network, although it would only give you half the conversation.
*edit: added the word "audited".