With opencv3, this should work:
Python
# First create the image with alpha channel
rgba = cv2.cvtColor(rgb_data, cv2.COLOR_RGB2RGBA)
# Then assign the mask to the last channel of the image
rgba[:, :, 3] = alpha_data
C++
# First create the image with alpha channel
cv::cvtColor(rgb_data, rgba , cv::COLOR_RGB2RGBA);
# Split the image for access to alpha channel
std::vector<cv::Mat>channels(4);
cv::split(rgba, channels);
# Assign the mask to the last channel of the image
channels[3] = alpha_data;
# Finally concat channels for rgba image
cv::merge(channels, 4, rgba);