Do you have a link to where you were working? Perhaps the console could tell us something, if there is an error in the code (or, rather, the compatibility of the code with the KA editor), or if KA just decided to block it. 

Ok, here is an example of the version 1.2.0 working for the most part
https://www.khanacademy.org/computer-programming/p5-120/5161555121356800
I say for the most part, because if you edit the code a bit the guy gets spastic and the console says

WARNING: Too many active WebGL contexts. Oldest context will be lost

I think this is a bug, but it can easily be fixed by refreshing the page (which undoubtedly gets annoying)

And here is me trying to use the version 1.4.0
https://www.khanacademy.org/computer-programming/p5-140/6243247869345792
The only thing I change here is the version of the library. That's it, but it won't load at all.
the console says:

p5-140.js:70184 Uncaught TypeError: Cannot assign to read only property 'requestAnimationFrame' of object '#<Window>'
at Object.294.core-js/modules/es.array.filter (VM45 p5-140.js:70184)
at o (VM45 p5-140.js:34)
at VM45 p5-140.js:38
at Object.283../constants (VM45 p5-140.js:62560)
at o (VM45 p5-140.js:34)
at VM45 p5-140.js:38
at Object.267../accessibility/color_namer (VM45 p5-140.js:54743)
at o (VM45 p5-140.js:34)
at r (VM45 p5-140.js:51)
at VM45 p5-140.js:55

Are you using the right CDN? I know using the one that is on the p5 web editor isn't whitelisted for khan academy, so I have to use a different one.

Yes, cdn.jsdelivr.net is one of the allowed CDNs, and I am using the same CDN for both versions of p5.js

Another thing, p5.js doesn't like being ran in stack overflow, so don't click "run snippet", it won't do anything.

bevytara

1) What you said is completely false. You can also include the script tag in the body section of the HTML document and it will work just fine. Actually, Khan Academy's HTML/JS lessons teach that you should put it in the body because it is cleaner code. But I actually always just import all my script tags in the header if I can because to me that looks cleaner.

The newer versions of p5.js do not work on Khan Academy because they try to edit the requestAnimationFrame property of the window. This fails because KA froze the window prototype. There are two ways around it. Run p5.js inside an iframe or use a modified version of p5.js that doesn't try to change the requestAnimationFrame property such as this one