I didn't find such a place. I suggest you to create a support case, so that Cypress gets informed and can fix it.
Alex, did you ever figure this out?
This solution worked for me (using PSoC Creator 3.3)
Create a cyapicallbacks.h file, add it to your project under "Header Files" section. Below is the contents of a default one (can't attach a .h file).
Delete your generated source folder (good idea to back it up first in case something goes wrong) and rebuild the project
. If you have a look at one of the generated source .c files, it should have an extra line:
* Copyright YOUR COMPANY, THE YEAR
* All Rights Reserved
* UNPUBLISHED, LICENSED SOFTWARE.
* CONFIDENTIAL AND PROPRIETARY INFORMATION
* WHICH IS THE PROPERTY OF your company.
/*Define your macro callbacks here */
/*For more information, refer to the Macro Callbacks topic in the PSoC Creator Help.*/
#endif /* CYAPICALLBACKS_H */
/*  */
I hope this helps.
cyapicallbacks.h must be present in the .cydsn directory per http://www.cypress.com/forum/psoc-4-architecture/cmostartc-no-return-exception-handler-callback?source=search&keywords=cyapicallbacks&cat=community
THEN, delete generated files and rebuild.