It was tricky to get custom date formats to work, but as with most things, once you know how, it is easy. The problem is that the pivot table format button on field settings brings up the same Format Cells dialog box as “right click > format cells” command does, but it does not behave the same way so it will not allow to set custom formats.
To set a custom format one has to do it in the data grid. First you have to format the date columns as number values then apply the custom date format. This worked ddd, mmm d ‘yy as the custom format.