The proof of the theorem is based on the one given here (in French): http://web.archive.org/web/20210414180128/http://www.les-mathematiques.net/c/a/b/node4.php
Several statements on compact sets are needed for the proof, and Proposition 2.3 on https://ncatlab.org/nlab/show/locally+compact+topological+space can be useful to better understand what is going on.
The complete-metric-space version of Baire's theorem had been formalized with SSReflect: https://github.com/CuMathInfo/Topology/blob/master/BingShrinkingCriterion/BaireSpaces.v
However, to my knowledge (when I wrote this in 2021), this version of the theorem had never been formalized before.
X > Y means "X depends on Y"
BExamples.v > Baire.v > BCompactness.v > BTopSpace.v > BOrder.v > BFamily.v > BSet.v > BLogic.v
BExamples.v contains an example of a topological space, namely cofinite sets of N. (Unfortunately it is not Hausdorff, so Baire's theorem cannot be applied to it
First run the command
coq_makefile -f _CoqProject -o Makefile
And then make