I had the thought that it might be possible to build your usb thumb drive with an alternative bootloader + OpenBSD. Legacy
sysutils/grub is available in ports. When exploring the thought I ran into this
Arch Linux EFI examples wiki. Apparently, OS/X likes things "Blessed".
It may also be possible to install linux with grub2 to the usb disk and then use a system rescue disk to boot the usb disk, shrink the linux partition as much as possible and generate an A6 OpenBSD partition. Allocate the OpenBSD space using
disklabel(8) with the -A flag. Then extract the sets to the OpenBSD root partition.
Edit the Grub2 chainloading code.