I do not believe you can set the style programatically. To get around this you can create a template layout xml file with the style assigned, for example in res/layout create tvtemplate.xml as with the following content:
<?xml version="1.0" encoding="utf-8"?>
<TextView xmlns:android="http://schemas.android.com/apk/res/android"
android:layout_width="fill_parent"
android:layout_height="wrap_content"
android:text="This is a template"
style="@style/my_style" />
then inflate this to instantiate your new TextView:
TextView myText = (TextView)getLayoutInflater().inflate(R.layout.tvtemplate, null);
Hope this helps.