As i see, they need similar scheme and manifest to create graphqlients, graph clients is also looks similar. They both can be deployed on thegraph and to the nodes.
There are not so much info about openzeppelin subgraph, and i cant find any comparisons.
OpenZeppelin does not run a blockchain indexing service like TheGraph.
OpenZeppelin does provide packages to make it easy to run/ deploy subgraphs that index OpenZeppelin Contracts activity. These subgraphs would be deployed on TheGraph.
I am not sure what you mean by TheGraph subgraph though.