I don't think so... You can't re-program Cubase. (But, I don't own Cubase.)
You could build a MIDI-controlled relay/light, but you'd have to click a button to send the MIDI command before recording. If you have to click something to turn on the light, that's a lot more trouble to build & set-up than simply wiring-up up a regular 'ol light switch.
Unless... Maybe there is a way to automate stuff in Cubase? For example, if can you set-it up some sort of batch operation in Cubase where you click on a command and have it start recording and send-out a MIDI command to a MIDI instrument. There is a [u]MIDI Shield[/u] that allows the Arduino to send/receive MIDI commands.