The PSoC is now operating with the USB-Serial  sending out data to the USB when the Z80 writes to the SIO.

I was rewarded with Grant's prompt.

Used the DSLogic Plus logic analyzer a lot to make it work. Here's the setup.

I am monitoring IORQ*, Data Lines, RD*, WR* and WAIT*. 

Ended up with PSoC code that captures all SIO control register writes even though many of them will not be used. Some of them are interrelated, particularly in interrupt handling.

Next, make Serial input work. A tad more complicated because I now have to emulate interrupts from SIO.