Yes, you should be able to assemble chain with non PSoC 3/5 devices:
1) You have to made all HW connection properly.
2) Then press "Scan Bus" button in PSoC Programmer GUI and see what devices are detected on the chain.
3) After that it is required to provide correct size of IR register for each device on the chain (for PSoC 3/5 it is 4-bit, maybe different for other devices).
4) You need to be sure that JTAG ports/pins are always accessible (opened) on third party JTAG devices, so that chain will not be broken.
AN62391 has the detailed programming interfacing, timing, and code implementation reference for PSoC3 devices.
AN64359 has the detailed programming interfacing, timing, and code implementation reference for PSoC5 devices.