Right now there is no direct translation for "action" directive like that, we will add configuration like that later, however, I think you can archive the same effect using URL rewrite now.
Make sure /cgi-tdb/bin/tdbengine is configured to serve as CGI, then rewrite all requests to ".prg" files to URI "/cgi-tdb/bin/tdbengine" and add required environment variables "PATH_INFO" and "PATH_TRANSLATED".
I did not try, but I think it should work. ;-)