Can you please try updating the PSoC Creator and check. I'm able to see the JTAG option in PSoC Creator 3.3CP3 for a sample project.
Thanks for your reply.
I tried updating to both SP2 and CP3 but with same result. On the other hand, when I opened an example project I could see all the five Debug Select options even after selecting the same device.
This is a design I have ingerited. Are there some settings or pins that need to be set or something else in the design/configuration required to enable JTAG?
I found the solution :)
It suddenly struck me that I was working on an application that is dependent on a bootloader. The bootloader had all the debug options. When changing to JTAG for the bootloader and including the newly built bootlader in the application, all the options appeared for the application.