A couple of points to take on-board: -
- GND is a reliable "sink" node that can be used for connecting capacitors to for filtering any noise on the output of your DC-to-DC converter.
- Because the output of your converter is isolated, it doesn't mean that it contains zero noise with respect to GND.
- The output noise comes from the internal switching circuits. It's capacitively coupled via the isolation transformer at frequencies typically around 100 kHz (50 kHz to 200 kHz usually).
- That output noise does contain higher order harmonics up to hundreds of MHz.
So, the CY capacitor is present to reduce the high frequency noise on your isolated DC output. Call it an EMC compliance thing.