The dynamo doesn't put out any significant amount of RF. The small signal it does generates is well within the audio range (as opposed to the radio range) and would not be radiated efficiently as RF without a many mile long antenna.

The LED light could emit some RF, however. If that's a problem, I'd suggest wrapping the power cable around some ferrite beads right near the light.

And note that you gain nothing by "grounding" the coax to the bike frame, as the frame is not connected to the ground (you see, there's these big round rubber insulators between the frame and the ground.) In the case of a car, the "ground" is simply a return path for the electricity -- the frame is used as part of the circuit. You could do that on a bicycle too, but it probably makes more sense to just use two wires.

Using coax because it's the right size and shape makes sense, but coax is a lot more fancy than you need for this low frequency AC signal. You don't need the shielding and don't need the stranding to overcome the skin effect, for example. If you could find DC wiring (it's not DC, but the frequency is low enough that it doesn't matter) that fits the shape and color you're looking for, that would work just as well.