This sometimes happens when trying to install the EFIversion of grub to a device when you are booted into Legacy/MBR mode. It doesn't seem to occur on all machines, but some and seems somewhat BIOS dependent.
grub-install --target=x86_64-efi /dev/sda
Installing for x86_64-efi platform.
grub-install.real: warning: Couldn't find physical volume `(null)'. Some modules may be missing from core image..
grub-install.real: warning: Couldn't find physica........
Just a quick note and warning is that if you are testing to see if EFIPXE booting works on a VM, MAKE SURE it actually works. For example Iinitially tested using my Distro's QEMU 2.5+dfsg-5ubuntu10.46 and ovmf BIOS firmware (OVMF supports EFI). However, I found on old versions of QEMU (like 2.5), EFIbooting with GRUB NEVER works so it may appear that you have made a mistake when everything is fine when you boot a physi........
*Update so this doesn't work it must be something to do with the path of nfs or something else but the installer fails with "Installer crashed" at the end whereas with the CD/USB it works.
This assumes you've already installed and configured a separate PXE/DHCP server somewhere else and your /tftpboot directory is setup.
This is for Linux Mint 18.1 but generally applies to most versions although you may have tro change things like "casper"........