As you surmised, there's no support direct for this sort of thing in dygraphs. This has been discussed on the mailing in the past.
The gist is that the dygraphs x-axis is always continuous. You'll need to map your time dimension onto something that is continuous, e.g. "market open minutes". Then you'll have to update the tickers and axis/value formatters to reflect this.
It's a fair bit of work but the necessary hooks do all exist. Please do share your solution if you go down this path!