I don't think they do. You can try (it can't hurt) but I'm pretty sure they state that they are only accepted at Coach Boutiques, and Nordstrom's just accepts them as a courtesy.
I dont know about Macy's but Nordstrom gave me the discount yesterday with no questions. I think it depends on how knowledgeble your Nordstrom SA is- some of them probably dont even know what the Coach PCE is so they would automatically say no.