To my knowledge, this would be considered a system prompt and would not be customizable, just as are the other system conversations: Greetings Administrator, Sign-In, etc.
My system seems to perform as you describe above: when you press * to cancel a system transfer, it goes to the Opening Greeting. I suspect this is as designed, although not ideal in my mind at all. It should go back to the referring call handler, but Unity and Connection have never had an option to return to the referring call handler, and I suspect this would be difficult to code as I don't believe there is any mechanism in the database that tracks where a call came from once the handoff is complete, only as it is happening for the purposes of calling party identification and language inheritance.
You could add this to my previous post for feature requests: https://communities.cisco.com/thread/28903?tstart=0
I also looked through the database with the CUDLI tool, but did not locate anything I thought illuminating to definitively answer your question.