In classic gmt the function makecpt is used to create a "cpt" file that acts as a color map for plotting data in grdimage and in plotting a colorbar.

In its present state, pygmt does not (to the best of my knowledge) allow for creating a custom colormap for use in both grdimage and colorbar, which greatly limits the utility of pygmt. Such functionality could be achieved in the following way:

fig.makecpt(limits=[min, max], cmap=..., transparency=False, cpt='name of temporary output cpt file')
fig.grdimage(cpt='name of temporary cpt file')
fig.colorbar(cpt='name of temporary cpt file')

In practice, a single image could have several cpt files associated with it.