Most font services are looking for User Agent referrer information that comes off of a typical browser. It could be that the Coda User agent string is not recognized one. Not knowing Coda well is it working off of a local web server when you preview?
Our web font service WebINK works if you configure your settings for localhost and in programs like Dreamweaver if you configure the Liveview to use localhost the fonts will show up on preview.
Google also allows you to download the fonts to your local environment. Your setup for the fonts will use standard @font-face calls in your CSS so a bit different than the
Good luck