Yeah, I'm not a big fan of mug either. I generally replace the steal materia once it changes to mug. I'll tell what should happen. When mug is unlocked, it needs to replace attack and keep steal. That's currently not possible since those are two different materia effects.
The Coin / Throw change is part of the Throw command handling on the command window. I looked for a bit today and couldn't find where this happens. My guess is that's not an easy solution.