I know that pheromones are means of communication between the same species, but are they capable of changing the phenotype of an organism, may be influencing the expression of the genes of a said organism.
Pheromones are means of communication between individual within a species, not between species.
[A]re [pheromones] capable of changing the phenotype of an organism[?]
Yes! It actually necessarily does, by definition. If a chemical produced by an individual does not affect the phenotype any individual of the same species, then it is not a pheromone! You will note that behaviour is part of an organism phenotype.
Pheromones can have drastic impact on an organism phenotype. Most notable examples are from social insects, such as caste differentiation in termites (Matsuura et al. 2010).