The latest OpenBSD ISO image install64.iso does not seem to boot in UEFI mode in the latest version of VirtualBox. However, I believe OpenBSD should be able to do this. I tried this simply by creating a new VM instance and then turning on UEFI in the settings:
What I get is the generic EFI boot screen which is shown when booting into the OS doesn't work:
It does work if I turn off EFI.
Do I need to do something more to get OpenBSD to boot in EFI mode?