Hi Urs,
Not directly the answer to your question, but. Adobe Acrobat DC allows one to convert the colour model in a PDF to large set of choices, including CMYK. Therefore it is possible to post process lilypond colour output to CMYK. Granted, not an open source solution, but the pre-press technology is certainly readily available.
Do you really want CMYK colours or is it that you want spot colours in your output?
Most professional print shops will do RGB to CMYK conversion nowadays as required for their particular print devices. What is the reason for wanting to specify CMYK rather than RGB in the lilypond source?
Andrew