I've found an alternative way to do it, I reply to myself here in
case it's helpful for someone else.
Instead of booting the kernel, I chainload the OpenBSD
bootloader.
Steps to reproduce:
1. Download miniroot78.img, mount it[1] and copy the file
/efi/boot/bootx64.efi at the root of the filesystem.
2. Update the GRUB configuration as follow:
menuentry "OpenBSD Installer" {
insmod ext2
set root=(hd0,gpt3)
chainloader /bootx64.efi
boot
}
Now booting "OpenBSD Installer" in GRUB launches the OpenBSD
bootloader, and you get access to the boot> prompt, you can
run bsd.rd.
[1]: http://unix.stackexchange.com/questions/316401/ddg#316410
