The keyboard shortcuts within the app can be customized in System Settings ‣ Keyboard ‣ Keyboard Shortcuts… ‣ App Shortcuts. The global hotkeys (e.g. for training from Apple Mail and Outlook) are not fully customizable at present, but you can change the letters via Terminal:
defaults write com.c-command.SpamSieve HotKeyTrainAsGood g
defaults write com.c-command.SpamSieve HotKeyTrainAsSpam s