It does appear like there are two ways you can go about this. In they cycle element you will have to specify the element that contains your buttons as follows:
<div class="cycle-slideshow" ...... data-cycle-pager="#my-cycle-pager" ...>
<!-- button container -->
<div id="my-cycle-pager">
<!--Wrap each button in a span element -->
</div>
Then you may have to tweak the CSS class cycle-pager-active to give you the highlight you want.
The only problem with this method is that default pagers will be appended at the end of your span markup. May be there's a way via the api to prevent that. Check it out at:
http://jquery.malsup.com/cycle2/api/
The second method involves using one of the available custom events. Let me put a quick demo together.