Debugging capabilities are inherent to ARM's M0 and M5 core PSoCs and the underlying debugger interface is afaik made by KEIL, it is not gnu.
I believe the KEIL system is for the PSoC 3 family only. Cypress uses some variant of the GNU EABI ARM toolchain for the PSoC 4-5's. If you look in the
C:\Program Files (x86)\Cypress\PSoC Creator\3.0\PSoC Creator\import\gnu_cs\arm\4.7.3\bin
directory you will find the entire GNU toolchain including GDB.
The original reason that I thought it was using GDB, was that I've managed to crash the debugger on a PSoC 4 pioneer board and had to kill the process manually.
I already use the JLink's GDB server to debug externally in Eclipse, but it would be awesome if it could be patched into PSoC Creator os you wouldn't have to re-export the project after making hardware changes.
I agree, they need to get the Segger-GDB working!