Will a SELECT . . . INTO use short-circuit evaluation for a COALESCE?
Yes, per documentation:

Database SQL Language Reference (Oracle 11g): COALESCE()


  Oracle Database uses short-circuit evaluation. The database evaluates each expr value and determines whether it is NULL, rather than evaluating all of the expr values before determining whether any of them is NULL.


Note (having been burned by this myself): be wary of relying on proof-of-concept to determine order-of-operations in SQL language.  SQL is declarative, and the engine is often given the flexibility to execute portions of a statement in arbitrary orders.  So just because one ad-hoc example shows the order of execution of operations A, B, C to be A-then-B-then-C, it may be the case that in different circumstances, engine will opt for alternate execution order, e.g. B-then-A-then-C.