Have you built Coreboot for your target mainboard or emulator? Coreboot can load any ELF payload (Payload -> Add a payload -> An ELF executable payload and provide the path to your payload).

I have not attempted using a UDK-generated payload... There may be additional requirements for UEFI such as wrapping the binary into ELF format and adding data structures resident in memory (HOBs). The efiboot project appears to address these issues.