Please read hier(7). Xenocara (OpenBSD's Xorg) sits in /usr/X11R6.
It even should have separate partition.
BSD Make tend to use mk-files. Special files in /usr/share/mk. Some of then include /usr/X11R6/share/mk. You can find X11BASE variable there to include it into your Makefile.
PS: Some people suggest /usr/local/include. Please note that OpenBSD has very clean distinction between base system and third party software.
/usr/X11R6 is part of base system. It never goes to /usr/local. But ony third party software (vim, kde, python) always goes to /usr/local/.
So:
/usr/include: base system (except Xenocara)/usr/X11R6/include: base system (Xenocara)/usr/local/include: third party software.