I know of one cadet from the Class of '08 who commissioned Coast Guard (he was actually a Reservist for at least two years of his cadetship), and one of my classmates recently decided to go that route.
In general, these cadets take Navy ROTC, but it's totally up to you which branch you do ROTC with. We have FTXs in the fall and in the spring, which are basically weekends (spring FTX is Friday at the completion of classes 'til Tuesday... they cancel class on Monday and Tuesday) devoted to ROTC training. The guy from '08 coordinated with his Reserve unit to get a Coast Guard FTX option where they spent the weekend on cutters and learning about career opportunities in the USCG. It sounded extremely cool, but he had to take the initiative himself, and only a few cadets went each time.
For more information about commissioning in the Coast Guard from VMI, email LTC Gary Bissell at BissellGA @ vmi.edu. He coordinates with the Coast Guard recruiters.
Good luck,
Jackie M. Briski
VMI Class of '09