Just for the record, I've just changed mklive to install the grub EFI loader in ESP as `\\EFI\\BOOT\\BOOTX64.EFI'.

commit e514350f88c48f144fd2a76a3748fb35bd23b914
Author: Juan RP <xt...@voidlinux.eu>
Date:   Sun Jul 12 08:48:08 2015 +0200

    mklive: install GRUB EFI loader as EFI/BOOT/BOOTX64.EFI.
   
    There are some EFI firmwares that expect the loader to be in that
    location and being uppercase, so that there more chances to make this
    boot on more systems.

This should make the live image even more compatible when booting with UEFI firmwares pre 2.3.