Finally found the solution, after reading this post.
Here’s the rule to add to the dune file
(rule
(target lexer.mll)
(deps
(:src lexer.cppo.mll)
(glob_files ./inc/*.inc))
(action (run cppo -I ./inc %{src} -o %{target})))
where inc is the subdir in the source directory where files to be included by cppo are put.