The answer, according to John Mueller, is yes – but you want to keep the main domain of your website in the sitemap, not a CDN.

Sounds like you can host them on a CDN, but you’ll want a redirect set up from your main domain for the sitemap.xml

Sitemap.xml – Should Images (CDN Urls) be in the main sitemap?
byu/AnxiousMMA inTechSEO