Google and other search engines check the pages that the content is embedded from, they care little where that content is coming from, should it be from another site or a CDN.
There are millions of sites that use the default domains hosted by the likes of Rackspace/Amazon and so on without the use of custom domains. In fact using a custom domain with the likes of a content delivery network actually causes an additional lookup which causes a slight delay, for example if you use
cdn.sitename.com instead of
AS2010.RackspaceCDN.com for example your actually causing an extra lookup because cdn.sitename.com resolves to AS2010.RackspaceCDN.com so its 2 DNS lookups rather than one.
Anyway, in short. Using a CDN without a custom subdomain, domain or anyelse does not have any effect what's so ever or at least that we know off, millions don't also when CDN first came out you couldn't use custom domains ;)