We report the results of a search for O VI absorption in the spectra of 80 hot DA white dwarfs observed by the FUSE satellite. We have carried out a detailed analysis of the radial velocities of interstellar and (where present) stellar absorption lines for the entire sample of stars. In approximately 35% of cases (where photospheric material is detected), the velocity differences between the interstellar and photospheric components were beneath the resolution of the FUSE spectrographs. Therefore, in 65% of these stars the interstellar and photospheric contributions could be separated and the nature of the O VI component unambiguously determined. Furthermore, in other examples, where the spectra were of a high signal-to-noise, no photospheric material was found and any O VI detected was assumed to be interstellar. Building on the earlier work of Oegerle et al. and Savage & Lehner, we have increased the number of detections of interstellar O VI and, for the first time, compared their locations with both the soft X-ray background emission and new detailed maps of the distribution of neutral gas within the local interstellar medium. We find no strong evidence to support a spatial correlation between O VI and SXRB emission. In all but a few cases, the interstellar O VI was located at or beyond the boundaries of the local cavity. Hence, any T ~ 300,000 K gas responsible for the O VI absorption may reside at the interface between the cavity and surrounding medium or in that medium itself. Consequently, it appears that there is much less O VI-bearing gas than previously stated within the inner rarefied regions of the local interstellar cavity.