Yes, you can have your synth trigger lighting scenes or shows. You have to have a controller to do it however. The controller can either be a hardware controller (I use a Magic 260) or a software controller (this site often recommends MyDMX) if you have a dongle for the software controller that accepts midi signals.
You can use any key on the synth to send signals but I tend to use the top or bottom 2 or three keys in each of my Combis. You don't want to use a key that you will hit while you are normally playing because the first time you hit the triggerring note, it will turn the scene on, but the next time you hit it it will turn the scene off. You don't want the lights coming on and going off every time you hit the key. What you want to do is have one key turn on one light setting and other key(s) triggering other settings.
For any key you want to use as a trigger, set the key midi output to the channel that the controller is "listening" on and set the midi routing to "Ext." Set the key range top and bottom zone only on the key you are using. Use the pitch adjustment to send have it send the note that corresponds to the scene you want to trigger. It works great.
If you happen to have a keyboard that has chord triggers (I use an M50), you can use the chord triggers instead of the keys. That works great.