To finish this (for now). I can’t make it work on Linux until GDAL fixes the bug (opened an issue). I thought that I could cheat it by running twice saving on disk and reloading but no way. Not even that worked.
On Win we can now do (function names are not definitive)
julia> G, cl = worldrectangular("@earth_relief_30m_g", pm=30, latlim=(80,-70), coast=:low);
julia> grid = worldrectgrid(proj="+proj=vandg");
julia> grdimage(G, shade=true, plot=(data=cl,), cmap=:geo, B=:none)
julia> GMT.plotgrid!(G, grid);
(@Andreas your attempts at are perfectly doable with some changes in the functions that do this, and not only coastlines but grids too.)