As you are using wysiwyg module with tinymce library. You should implement the alter function provided by wysiwyg module to add the editor settings.
For tinymce 4.x:
function MYMODULE_wysiwyg_editor_settings_alter(&$settings, $context) {
if ($context['profile']->editor == 'tinymce') {
$settings['link_class_list'] = array(
"Class Example" => "class-example",
);
}
}
For tinymce 3.x:
function MYMODULE_wysiwyg_editor_settings_alter(&$settings, $context) {
if ($context['profile']->editor == 'tinymce') {
$settings['theme_advanced_styles'] = array(
"Class Example" => "class-example",
);
}
}
References
wysiwyg
and library istinymce