Let us change OP's notation $a\to a_1$ and $b \to a_2$. We write collectively the two annihilation operators as a column two-vector
$$ \tag{1} \vec{a}~:=~\begin{bmatrix} a_1 \\ a_2 \end{bmatrix}.$$
We have the Heisenberg algebra
$$ \tag{2} [a_i,a_j^{\dagger}] ~=~\delta_{ij} {\bf 1}, \qquad [a_i,a_j] ~=~0, \qquad [a_i^{\dagger},a_j^{\dagger}] ~=~0,\qquad i,j~\in~\{1,2\}, $$
and the vacuum state
$$ \tag{3} a_i | 0\rangle ~=~0. $$
Define un-normalized coherent states
$$ \tag{4} |\vec{\alpha} )_a ~:=~ e^{ a^{\dagger}_i \alpha_i} | 0\rangle . $$
The idea is now to diagonalize the ${\cal O}$ operator.
Define unitary matrix
$$ \tag{5} U ~:=~\frac{\sqrt{2}}{2} \begin{bmatrix} 1 & i \\ i & 1 \end{bmatrix}~=~ \exp\left[i\frac{\pi}{4}\sigma_x \right] .$$
Define new operators
$$ \tag{6} b_i ~:=~ U_{ij} a_j, \qquad [b_i,b_j^{\dagger}] ~=~\delta_{ij} {\bf 1}, $$
and new coherent continuous labels
$$ \tag{7} \beta_i ~:=~ U_{ij} \alpha_j. $$
Define un-normalized coherent states
$$ \tag{8} |\vec{\beta} )_b ~:=~ e^{ b^{\dagger}_i \beta_i} | 0\rangle~=~ e^{ a^{\dagger}_i \alpha_i} | 0\rangle~=~|\vec{\alpha} )_a . $$
Note that the operator becomes diagonal
$$ \tag{9} {\cal O}~:=~ \exp\left[i\theta a^{\dagger}_i (\sigma_y)_{ij} a_j\right] ~=~ \exp\left[i\theta b^{\dagger}_i (\sigma_z)_{ij} b_j\right] ~=~ \exp\left[i\theta (n_1-n_2)\right],$$
where the number operators read
$$ \tag{10} n_i~:=~b^{\dagger}_i b_i \qquad\text{(no sum over $i$).} $$
Next deduce the commutation relations
$$ \tag{11} \exp\left[i\theta n_i\right]\exp\left[b^{\dagger}_i \beta_i \right]~=~\exp\left[b^{\dagger}_i \beta_i e^{i\theta} \right]\exp\left[i\theta n_i\right] \qquad\text{(no sum over $i$).} $$
We conclude from (11) that
$$ \tag{12} {\cal O}|\beta_1, \beta_2 )_b ~=~|\beta_1e^{i\theta}, \beta_2e^{-i\theta} )_b. $$
We leave it as an exercise to translate (12) back to normalized $a$-coherent states.