According to Jisho.org here, よ in the given sentece is defined as "3 used to catch one's breath or get someone's attention in mid-sentence".
##よ
Particle
indicates certainty, emphasis, contempt, request, etc.at sentence-end
１０００円かそこらで買えますよ。You can buy it for a thousand yen or so.used when calling out to someoneafter a noun
恋人よ、我に帰れ。Lover, come back to me.used to catch one's breath or get someone's attention in mid-sentence
yo!
Wikipedia definition
5. Yo (kana)よ, in hiragana, or ヨ in katakana, is one of the Japanese kana, each of which represents one mora....
Apart from "teyo-dawa speech", the よ in this given sentence is called one of a "ねさよ言葉｛ことば｝ ne-sa-yo speech".
ね and さ are used as the same function as よ in the given sentence as:
(A) それがコテンコテン しっぽ巻いてね 逃げちゃった (女性的、子供 female, child)
(B) それがコテンコテン しっぽ巻いてさ 逃げちゃった (関東弁 Kantou dialect)
(C) それがコテンコテン しっぽ巻いてよ 逃げちゃった (男性的 male)
Anyway, the basic form of the given sentece is:
(D) それがコテンコテン しっぽ巻いて逃げちゃった
###Example
(E) 俺が道を歩いていたら昔の友達に会った。 When I was walking the streets I met my old friend.
(F) 俺がよ、道をよ、歩いていたらよ、昔のよ、友達によ、会ったぜ。
The last ぜ is not a group of nesayo-speech, but it is usually used at the last of the sentence like (F) by a man.
It is better not to imitate (F), because it is a poorly behaved way of saying.
###Bonus
(D) それがコテンコテン しっぽ巻いて逃げちゃった
If you rewrite (D) plainly, it will be like (G).
(G) 彼がどうなったかと言うと、それが、彼は誰かにコテンパンにやられ、負け犬のように尻尾{しっぽ}を巻いて逃げたよ。
The interpretation of (G) in English will be like:
As for him, he was beaten black and blue and turned tail and ran away.