You still need a bootloader which can download something from HTTPs. Your question doesn't imply that and that's a huge issue. Most EFI ROMs I've ever dealt with can only boot from local storage devices or from TFTP using DHCP (i.e. "network boot") - but if you can use the latter then you can use whatever OS which supports downloading its files using https, e.g. most Linux distros.
Not sure why you specified "CDN" in your question. CDN for the end user/device is no different than an average web site. The trick is that depending on your IP/location you get an end point closer/faster to you, so that you could get data in less time.