How can I configure a CDN for the images?

First, you'll need to enable the Don't Redirect Images setting in the Magento config, because by default it redirects images to a cached image, which CDNs generally can't support:

Then, once you have your CDN domain ready, go ahead and drop it into MageMail v2 under Settings > Store > Advanced > CDN Domain.

Then, hit Save and jump into a message.  Right click on the image to see the image source and verify that it's hitting the CDN.