i did not get what you meant by vendor specific command (0x40) that work with alternate interfaces. There is no particular vendor command 0x40 reserved by Cypress. Cypress reserves only vendor commands 0xA0-0xAF, of which 0XA0 is used for Firmware Upload/Download. Any other vendor command including (0x40) will be application dependant.
If you are in search of implementation of SET_INTERFACE standard request, please refer CyStreamer firmware example that comes as part of Cypress SuiteUSB (http://www.cypress.com/?rID=34870), at the location C:\Cypress\Cypress Suite USB 3.4.x\Firmware\CyStreamer after installing SuiteUSB. Inside the firmware, you can refer the implementation of SET_INTERFACE request inside DR_SetInterface() function.
If you are in search of documents for implementing your own application specific vendor commands, then http://www.cypress.com/?rID=34485 will be useful for you.
Thank you, I needed to setup and use alternate interfaces and CY Streamer app gave me the info I needed.