first, cmyk isn't suitable, it's made for print, and has smaller color range than rgb. second, i don't think it would be a good idea. instead of some kilobytes for the bump (grayscale) map, you'd have to load also rgb channels into your paint application, although you don't want to work with them - more memory usage and slow reaction is the consequence. most paint applications think that added channel (or alpha-channel) is for transparency, and this should (and can) be applicated.