I don’t believe we have done any tests to see if we can cook collision geometry in a background thread. Generally things are not thread safe unless they have been designed that way, so there will probably be some work to support that, and you may need to talk to NVIDIA support about it as well.
Unfortunately at the moment I don’t believe it is possible to create your own new mid- or narrow-phase for collision detection in PhysX. I know this is something NVIDIA want to add in the future though. Their source is available though, so you could modify PhysX yourself to add it.