Getting formatted MDX values using OPENQUERY
I ended up solving this using the Format function, similar to the following:

MEMBER [RO Count] AS Format([Measures].[ROH Count], "General Number")


I'll keep the question open for a bit, in case anyone has a cleaner answer.  I would have liked to pull the format string in from the calculated members, instead of hardcoding it, but I couldn't figure out how.