Federal hiring policies are not created by the Coast Guard, but are, as you noted below, defined by the Office of Personnel Management (OPM). OPM's website is somewhat cryptic in defining a veteran with regards to the Coast Guard Auxiliary.
The Coast Guard "Reserve" was authorized on June 23, 1939, by an act of Congress. At this time, the Coast Guard was given the legislative mandate that they could use individuals that would be serving in a non-military service status and be comprised of unpaid, volunteer U.S. citizens who owned motorboats or yachts. Two years later, on February 19, 1941, Congress amended the 1939 act with passage of the Auxiliary and Reserve Act of 1941. The passage of this act designated the Coast Guard Reserve as a military branch of the active service, while the civilian volunteers that were also referred to as the Coast Guard Reserve, became the Coast Guard Auxiliary. During World War II, many of these members joined the war and served on active duty in the armed forces.
Accordingly, if a member served in the Auxiliary between June 23, 1939 and February 19, 1941 they would be eligible for veterans' hiring preference. Today, for the purposes of establishing veterans preference in Federal employment, Coast Guard Auxiliarists that do not meet the requirements of 5 USC 2108 and in 5 CFR 211 would not be eligible for veterans preference in Federal hiring.