PSoC 4200L in Deep Sleep mode will not support a 24MHz clock which you are using for generating the 31.25kHz signal through PWM . Also other peripherals are in Retention mode. The PSoC 4 Low power mode and power retention technique mentions this : https://www.cypress.com/documentation/application-notes/an86233-psoc-4-low-power-modes-and-power-reduction-techniques
Is it possible for you to use the WCO (which is 32.768-kHz watch crystal) for your operation ?
You can enter the Deep Sleep mode using the CySysPmDeepSleep().
Exit from Deep Sleep mode occurs when an interrupt is triggered. Upon exiting Deep Sleep, PSoC re-enters Active mode. The configuration of Deep Sleep wakeup sources requires only that their interrupts be enabled. Then you can perform the desired functions and reenter the Deep Sleep mode using the same API.
You can use the following sources to wake up from Deep Sleep every one ms.
When using P4200 w/o 24MHz XTAL, have you been able to use Deep sleep mode?