Welcome, Douglas!
Yancey says he got the story from Scott Hoezee's book The Riddle of Grace. I don't own that particular book, so I don't know if Hoezee provides a source for it. If you can find a copy of it you may find out something.
I don't recall anything in Lewis' letters about him attending a conference on comparative religions. It's not the sort of thing he was apt to go out of his way for. He might have 'wandered in' if it was in Oxford, I suppose.