Thanks to an email from Brent Simmons, the Firefox extension Feed Your Reader lets you auto-subscribe to a feed from Firefox to NetNewsWire.
Just install Feed Your Reader and select the “Feed Protocol” option in the extension’s one and only configuration option. Then right click (or hold-click) and select “Subscribe to This Page”. You’ll be prompted by Firefox to choose an application to work with the “feed://” protocol. Just find NetNewsWire and you’re all set.