cy.intercept<CustomRequest, CustomResponse>(url, (req) => {
  req.body // ← this should be a CustomRequest

  req.continue((res) => {
    res.body // ← this should be a CustomResponse
  })
})

cy.wait<CustomRequest, CustomResponse>('@alias').then(({ request, response }) => {
  request.body // ← this should be a CustomRequest
  response.body // ← this should be a CustomResponse
})

cy.intercept('/url', (req: CyHttpMessages.IncomingHttpRequest) => {
  (req.body as CustomRequest).payload = {};

  req.continue(res => {
    expect((res.body as CustomResponse).data).to.exist;
  })
}).as('alias')

const whenComplete = (expectations: ((i: { request: CyHttpMessages.IncomingRequest, response?: CyHttpMessages.IncomingResponse }) => void)) => cy.wait('@alias').then(expectations);

whenComplete(({ request, response }) => {
  expect((request.body as CustomRequest).payload).to.exist
  expect((response?.body as CustomResponse).data).to.exist
})

const whenComplete = (expectations: ((i: Interception<CustomRequest, CustomResponse>) => void)) => cy.wait('@alias').then(expectations);

whenComplete(({ request, response }) => {
  expect(request.body.payload).to.exist // ← here the request type is known
  expect(response?.body.data).to.exist // ← here the response type is known
})