Ok now I have found the proper place to include the missing .cpp files to generate the .o files.
In the MySensor.h are all necessary .cpp files from the /core folder
#if defined(MY_GATEWAY_LINUX)
#include "drivers/Linux/EthernetClient.h"
#include "drivers/Linux/EthernetServer.h"
#include "drivers/Linux/IPAddress.h"
#endif
#include "drivers/PubSubClient/PubSubClient.cpp"
#include "core/MyGatewayTransportMQTTClient.cpp"
#include "core/MySmartSleep.cpp"
#include "core/MySleepNode.cpp