Spent some time reading about these. They can be represented in Nurbs and Beziers, somehow.
They are also used in some Blending...

An approximation can be made by sweeping correctly placed circles. In the attached .3dm, the two circles in the xz plane can be profiles which are
swept, using the two circles in the xy plane as rails. Maintain Height Checkbox gives two versions.

Created a simple script to draw a bunch of (approximate) circles. They can then be lofted to get the Cyclide.

A better way might be to create actual NURBS circles.