Probably the easiest thing is to not plot the legend using the densityPlot()
function but rather add it separately using legend()
. The following code is an example of how this can be done. The resulting figure look like this:

library(car)
mtcars$g <- as.factor(mtcars$vs)
par(mar=c(4,4,4,2))
# obtaining results from kernel density and saving results
# need saved values for bandwidth in legend
# also plots the kernel densities
d <- densityPlot(mtcars$mpg,mtcars$g
,show.bw=T
,kernel=depan
,legend=F # no default legend
,col = c('black','blue')
,lty=c(1,2))
# allows legend outside of plot area to be displayed
par(xpd=T)
# defining location based on the plot coordinates from par('usr')
legend(x=mean(par('usr')[c(1,2)]) # average of range of x-axis
,y=par('usr')[4]+0.015 # top of the y axis with additional shift
,legend = c(paste('0 (bw = ',round(d$`0`['bw'][[1]],4),')',sep='') # extract bw values from saved output and
,paste('1 (bw = ',round(d$`1`['bw'][[1]],4),')',sep='')) # formatting similar to default, except with rounding bw value
,ncol=1 # change to 2 if you want entries beside each other
,lty=c(1,2) # line types, same as above
,col=c('black','blue') # colors, same as above
,lwd=1
,xjust = 0.5 # centers legend at x coordinate
,yjust = 0.5 # centers legend at y coordinate
)
par(xpd=F)