"You need to have a valid openssl.cnf installed for this function to operate correctly" includes most openssl functions. You can force php to find your openssl.cnf file as follows:
$config = array('config'=>'/path/to/openssl.cnf');
$pkey = openssl_pkey_new($config);
$csr = openssl_csr_new('MyCSR',$pkey,$config);