I don't think there is a way to implement bootloaders? mbed-tools was never updated to include it.

ARMmbed/mbed-tools#156
ARMmbed/mbed-tools#315

The give away is this in the configure

WARNING: You are attempting to override an undefined config parameter target.header_format.
It is an error to override an undefined configuration parameter. Please check your target_overrides are correct.
The parameter target.header_format will not be added to the configuration.
WARNING: You are attempting to override an undefined config parameter target.bootloader_img.
It is an error to override an undefined configuration parameter. Please check your target_overrides are correct.
The parameter target.bootloader_img will not be added to the configuration.

How complicated to implement this would it be? I could work around it if too complex.

There was once talk in mbed of supporting mcuboot as it has a lot of nice features.
https://docs.mcuboot.com/