If you are expecting the VFD and the coolant pump to both respond
to the M3/M4/M5 command in G code, then this can be made to work.
If you expect to control the VFD and the pump independently, then
you have a problem.
The terminals of J2 on the PMDX-407 are capable of switching 120 VAC
to activate the coil of the MD20 relay. The coil terminals are 0 and 1 on
the MD20.
The MD20 has two sets of normally open contacts.
You can use terminals 2 and 4 to connect to the DCM and FOR of the
VFD and use terminals 6 and 8 to switch the power to the pump.
Be careful because accidentally connecting AC mains power to the
VFD control terminals will kill it.