Beginning the analysis about using VMs inside LXD i try to describe the list of the things to improve and review:

1) Add new LXD config options to /etc/init.d/lxd script and configure.

It's a good idea to add these options in the file /etc/conf.d/lxd

# Define HTTP Proxy to use
# LXD_HTTP_PROXY="http://myproxy.local:8080"

# Define HTTPS Proxy to use
# LXD_HTTPS_PROXY="http://myproxy.local:8080"

# Define No Proxy to use
# LXD_NO_PROXY="mydomain.local"

# Define the OVMF Paths for VMs
LXD_OVMF_PATH=/usr/share/edk2-ovmf/

# Skip SSL Certificate validation
# LXD_INSECURE_TLS=1 

I have a fix ready locally.

2) Upgrade and autogen sys-firmware/edk2-ovmf

The current ebuild is based on OVMF files from Gentoo that are old. The main issue is try to understand how generate the EFI secure boot file OVMF_VARS.secboot.fd (OVMF_VARS.ms.fd in Ubuntu) or choice if use debian/ubuntu package for this.

A temporary workaround is disable the EFI secure boot with:
lxc profile set default security.secureboot false