We currently define FIPS, not OPENSSL_FIPS. The reason for this is

(probably) that FIPS is an entirely internal macro, and is not
accessible by third-party authors.

fips/dsa/fips_dsatest.c

@@ -74,7 +74,7 @@
 #include <openssl/fips.h>
 #include <openssl/fips_rand.h>
 
-#if defined(OPENSSL_NO_DSA) || !defined(OPENSSL_FIPS)
+#if defined(OPENSSL_NO_DSA) || !defined(FIPS)
 int main(int argc, char *argv[])
 {
     printf("No FIPS DSA support\n");

fips/rand/fips_randtest.c

@@ -110,7 +110,7 @@
 
 #include "../e_os.h"
 
-#ifndef OPENSSL_FIPS
+#ifndef FIPS
 int main(int argc, char *argv[])
 {
     printf("No FIPS RAND support\n");