I want to have 2 custom subdomains mapped to different modules of my AppEngine app, i.e.:
a.my-domain.com -> default module
b.my-domain.com -> module-b
In case you're using Google Apps to configure your domain, it doesn't seem to be possible:
Applications that use Google App Engine are not available for users at non primary domains[1].
From "Google App Engine" at https://support.google.com/a/answer/182081
It's also mentioned at https://cloud.google.com/appengine/docs/ssl:
Google Apps does not support "secondary" domains for your App Engine app, as explained here. You can still use secondary domains with other apps you offer through Google Apps, but your App Engine app can only be accessed with your account's primary domain or its aliases.
You should be able to configure your domains without Google Apps, but if you need SSL support, which requires using Google Apps, I think there's no proper solution.