CMYK is a device-dependent colour space, i.e. the colour that is chosen to match to a particular RGB colour depends on the machine it is going to be printed on (and hence the inks that will be used in the printing). Therefore there is no one-to-one mapping of CMYK values to RGB values (even with a profile defining how the RGB values should be displayed).
Since PyMol's idea of CMYK is so limited (and from a printer's point of view probably shouldn't even exist) you are far better off getting the RGB image out of pymol to look just the way you want it to (assuming a calibrated display and approprate colour profile) and then use a full-featured converter to generate the appropriate CMYK image for the device it is going to be printed on. One suggestion for a converter is GIMP (soon to be renamed something else) because it does know how to use/respect ICC profiles.
Activating CMYK In PyMol
Display -> Color Space -> CMYK
Please read the above note about color spaces, too.