I updated openblas to the latest version (0.3.7,1) and it no longer installs libopenblasp.so. Since the existing install of suitesparse was finding libopenblasp in the /usr/local/lib/compat/pkg/ directory, I removed that file.
I ran make stage in math/suiteparse. The build ran fine, but the "*.so" files in the stage directory showed missing libs -- they were still looking for libopenblasp.so, even though it no longer exists on my system.
For example: 
/usr/local/lib/libcholmod.so:
        libm.so.5 => /lib/libm.so.5 (0x800669000)
        libamd.so.2 => /usr/local/lib/libamd.so.2 (0x80112e000)
        libcolamd.so.2 => /usr/local/lib/libcolamd.so.2 (0x801338000)
        libsuitesparseconfig.so.5 => 
/usr/local/lib/libsuitesparseconfig.so.5 (0x801541000)
        libccolamd.so.2 => /usr/local/lib/libccolamd.so.2 (0x801743000)
        libcamd.so.2 => /usr/local/lib/libcamd.so.2 (0x801952000)
        libmetis.so.2 => /usr/local/lib/libmetis.so.2 (0x80069b000)
        libopenblasp.so.0 => not found (0)
        libomp.so => /usr/lib/libomp.so (0x800716000)
        libc.so.7 => /lib/libc.so.7 (0x80024a000)
        libthr.so.3 => /lib/libthr.so.3 (0x8007bf000)

pkg delete and reinstall of suitesparse seems to fix the link issues.
I would guess it has to do with libsuitesparseconfig.so.5?

(I was trying to see if the affected my issue in Bug 243497)