Just had a brainwave. This gets close. In the Key Editor make a D major scale, open the Transpose panel and set:
Semitones = 4
Scale Correction: ON
Current: D Major
New: F# Phrygian (see * below)
Click the [>] button next to Semitones
Unfortunately you end up with a double-E but it may be possible to refine this - Cubase has several Scale options to choose from - but not at this time of night!
(*) Pick the target scale (mode) that equates to the no of steps. Modes, in case you would like reminding, begin on each step of the major scale and use the same notes (Mode (music) - Wikipedia):
Ionian (I), Dorian (II), Phrygian (III), Lydian (IV), Mixolydian (V), Aeolian (VI), Locrian (VII).