I've been running an Opensuse 13.2 Xen Dom0 server on x86_64 hardware, on EFI
hardware.

On Opensuse 13.2, I'd been manually chainloading Xen; my grub cfg has been

    cat /boot/grub2/custom.cfg
        menuentry 'Xen EFI' {
                insmod part_gpt gpt
                insmod gzio
                insmod diskfilter mdraid1x
                insmod ext2
                insmod search_fs_uuid
                insmod chain
                search --fs-uuid 986E-2DB9 --set
                chainloader /EFI/XEN/xen.efi
        }

At each kernel upgrade, I'd successfully populate the EFI data

    grub2-mkconfig -o /boot/grub2/grub.cfg
    mkinitrd
    cp -f \
     /usr/lib64/efi/xen.efi \
     /boot/vmlinuz-xen \
     /boot/initrd-xen \
    /boot/efi/EFI/XEN/

Subsequent boot was no problem.

After upgrading from 13.2 -> Leap 42.1

    lsb_release -rd                                                     
        Description:    openSUSE Leap 42.1 (x86_64)                             
        Release:        42.1           

    uname -ra
        Linux xserver 4.3.0-4.g734b32c-xen #1 SMP Sat Nov 14 16:19:19 UTC 2015
(734b32c) x86_64 x86_64 x86_64 GNU/Linux

    rpm -qa | egrep "kernel-xen-4|^xen-4|grub2-x" | sort
        grub2-x86_64-efi-2.02~beta2-68.2.x86_64
        grub2-x86_64-xen-2.02~beta2-68.2.x86_64
        kernel-xen-4.3.0-4.1.g734b32c.x86_64
        xen-4.6.0_02-397.1.x86_64

    xl list
        Name              ID   Mem VCPUs      State   Time(s)
        Domain-0           0  2987     1     r-----     715.9

generation of grub config now FAILs:

    /usr/sbin/grub2-mkconfig
        Generating grub configuration file ...
        #
        # DO NOT EDIT THIS FILE
        #
        # It is automatically generated by grub2-mkconfig using templates
        # from /etc/grub.d and settings from /etc/default/grub
        #

        ### BEGIN /etc/grub.d/00_header ###
        ...
        ### END /etc/grub.d/00_header ###
        ...
        ### BEGIN /etc/grub.d/20_linux_xen ###
        Found hypervisor: /boot/xen-4.6.0_02-397.gz
        Found linux image: /boot/vmlinuz-4.3.0-4.g734b32c-xen
        Found initrd image: /boot/initrd-4.3.0-4.g734b32c-xen
        menuentry 'openSUSE Leap 42.1, with Xen hypervisor' --class opensuse
--class gnu-linux --class gnu --class os --class xen $menuentry_id_option
'xen-gnulinux-simple-4716053b-39da-4cc1-a7ce-72171b862357' {
                echo    'Loading Xen 4.6.0_02-397 with Linux
4.3.0-4.g734b32c-xen ...'
                chainloader  $cmdpath/xen-4.6.0_02-397.efi xen-4.6.0_02-397.efi
config.1
        }

        cp: cannot stat '/vmlinuz-4.3.0-4.g734b32c-xen': No such file or
directory

Looking at the diff between /etc/grub.d/20_linux_xen before and after the
upgrade,

  https://www.diffchecker.com/ysgnbi7z

there's clearly a lot of code added for Xen-on-EFI processing/preparation. 
Looks like a problem with paths?