Are you trying to CREATE convex collision programmatically in C++? Or just query against it? Assuming your object has the collision authored in some other tool (e.g. Maya), PhysX should just handle all this for you. If you want to do a sweep against the complex collision via code you can do what TheJamsh said, bTraceComplex is a parameter in FCollisionQueryParams that you can pass to any of the Sweep* functions in World.h.
If you want to programmatically create convex collision, that’s probably a bit more tricky.