Ok…
never mind… It was a PEBKAC error… 
For anyone else who might run into the same issue.
The board in question is STM32F030 discovery.
You must add the extra commands as shown in
http://docs.platformio.org/en/latest/plus/debugging.html#st-util-and-st-link
These lines specifically.
debug_tool = custom
debug_port = :4242
debug_server = $PLATFORMIO_HOME_DIR/packages/tool-stlink/bin/st-util
Once I added those lines in the platformio.ini file, sublimegdb started working… 
Manually running the command in the sublime-project shone some light as to the possible cause what I did wrong…
In retrospect I realise, I gave absolutely no information about my project, board, platformio.ini files… :-I