The code to create the links in the header for the /html/portal/css.jsp file uses themeDisplay.getCDNHost() to create the full path for the <link>. However, hosting a JSP file on an external CDN won't work, and will just serve the raw JSP file contents back to the browser. The path needs to be created without the CDN host so it still links to the JSP file in the local portal.
Path to file: liferay-portal-src-6.0.5/portal-web/docroot/html/common/themes/top_head.jsp
<link href="<%= HtmlUtil.escape(PortalUtil.getStaticResourceURL(request, themeDisplay.getCDNHost() + themeDisplay.getPathContext() + "/html/portal/css.jsp")) %>" ...