Thank you for your answer. I already add them programmatically, which works fine for the npm dependency. But ClojureScript uses Google Closure underneath and this one uses document.write to include further JS files. However document.write is not possible anymore, when the document is already loaded / in the ready state. Libs like https://github.com/krux/postscribe provides workarounds for this.
It is still very difficult to make this work with FigWheel, since it has a very interactive development workflow. An option to include an additional script tag in the main html header would make PlayCanvas + FigWheel easy to use.
At the moment I either have to compile the ClojureScript into one JS file or download the PlayCanvas project, add the two JS script tags to the index.html and start a http-server to serve the PlayCanvas project on localhost.