GURPS hexes are, to my knowledge, meant to be approximations of circles. What the actual volume works out to depends on which side of "circle" you err - if you treat a GURPS hex as being the largest hexagon that will fit within a 1 yard diameter circle (the points of the hexagon touch the circle), you'll end up with volume less than
pi. If you treat a GURPS hex as being the smallest hexagon that a 1 yard diameter circle will fit inside of (the edges of the hexagon tough the circle), you'll end up with a volume greater than
pi. With the way GURPS hexes are arranged - going from the center of one hex to the center of another (a nominal yard) passes through an edge, not a point - I believe the latter interpretation is more correct than the former, so you'd expect a volume greater than
pi. That's only if you treat the approximation as literal truth, but in that case movement is going look a
little odd.
EDIT: Partially ninja'ed by Bill. I feel my point about it being an approximation of a circle stands.