Anything other than panic/abort on allocation failure is outside the scope of the vast majority of programs, including anything using the standard library in Rust. I wouldn't worry about Box<dyn Error>.

You're already writing Rust in a very different style if you're writing the type of code that gracefully handles allocation failure. It's to Rust's immense credit that this type of coding is actually fairly well-supported (unlike in Go), but you're already a bit off the beaten path for stuff like error handling.

A &(dyn Error + 'static) should be fine for that; you don't need any allocated/variable sized data in a memory allocation failure.