Is there any command show file extensions supported by ffmpeg?
There's no single list which has all the extensions supported by muxers in ffmpeg. FFmpeg is modular so each muxer registers the extensions it supports. A utility function then traverses through all registered muxers and tries to match their extensions with that of the output filename specified.

At the command line, you can check the extensions registered to a particular muxer:

ffmpeg -h muxer=mpeg


whose output will have a line like the 2nd line here

Muxer mpeg [MPEG-1 Systems / MPEG program stream]:
    Common extensions: mpg,mpeg.
....


Note that extensions by themselves don't signify anything other than provide a basis to select a muxer. If you want a MPEG Program Stream to have the extension ps, then use

ffmpeg -i input.mpg -f mpeg output.ps


This -f option forces the output format.