In the lookup transformation, select "Properties", "Columns".
Enter the "UNKNOWN" as the default value in your return column.
Note: Not sure if you may enter alphabets as ur default value, cause mine will prompt out error.
It might be possible using a LKP alone, but it will - to say at least - become complicated.
The safest and easiest way to achieve this result is this:
Forward the output port of the LKP to an Expression transformation.
Within this EXP, set up an output-only port of type String with the following expression term (assuming that the output port of the LKP is named LKPVAL):
IIF( IsNull( LKPVAL), 'UNKNOWN', LKPVAL)
Thank you Nico - that solution worked great!