Congratulations to all of you!
I'm a current Pickering, so I thought I'd chime in with my two cents.
First, no one ever gave me a list of schools or programs that were/were not acceptable. I assume that if your programs were way off base you wouldn't have been chosen as a finalist, and really lots of different courses of study would be useful in the FS (economics, management, etc) so I can't imagine that a policy degree wouldn't be allowed.
Second, to prepare for the interview, I would suggest familiarizing yourself with the FS, the 13 dimensions, and the cone you'd like to be in. Think of it like a mini oral assessment. There was a very detailed blog post that I linked to under another forum, http://clevertitle-comingsoon.blogspot.com/2010/04/day-as-pickering-fellowship-finalist.html. It was a little different back then because all fellows came to DC for the interview/test. But the content should be the same.
Good luck with the interview and written test. Also, I'm trying to put together some information about the process for future Pickerings, so once you've tested/interviewed feel free to post a debrief here.
~j