Apple - Minimise full screen Steam games in OS X Yosemite
CMD
+H
seems to work too.
Strangly CMD
+M
does not do anything.
In my experience it depends on the Game-programmer itself and has nothing to do with Steam, f.e. I recently bought 'Lords of Xulima' on Steam and the Game-Developer has disabled any Non-Fullscreen features.
Sometimes there is a trick though: With the game running, try pressing cmd+alt+esc. That will open the 'force quit'-window which then enables you to use cmd-tab.
Try it with your game.