For custom boards, the OpenOCD script should be generated when the project is created. The file is in the project root directory and should be automatically found by the IDE.
I don’t know why it was not generated for you. Maybe the update will fix this.
STM32CubeMX does not create the OpenOCD script. After imported and built the generated project from CubeMX to SW, when you launch the debug, a window should pop up to ask you to choose the debug device like when you’ve created a custom board. After this step, a OpenOCD script is generated into the project root directory.