I found that even the document says OBJECT_DEPENDS is a list of full-paths to files, it doesn’t need to be actually. With OBJECT_OUTPUTS and OBJECT_DEPENDS, I can accomplish the goal perfectly:
set_source_files_properties(a.cpp PROPERTIES OBJECT_OUTPUTS "hello_first_obj")
set_source_files_properties(b.cpp PROPERTIES OBJECT_DEPENDS "hello_first_obj")
hello_first_obj can be any string, it doesn’t need to be a path to a file. At least for Ninja generator it works.