You could use a custom notification method for this purpose. Please refer to
Create a Notification Method - CA Service Management - 17.1 - CA Technologies Documentation
for how to create a new notification method.
The notification method script should capture some ticket info(like ticket number, description etc) and establish SOAP WS connection to a third party app so to create a ticket there using some info from SDM ticket
Also please make sure you have some extra notification rule for the INIT activity notification for the new notification method with a different notification level if possible.
There are other ways to do this of course. Like trigger spel code to run an external script etc. In any case, you would need to write your script.