If you’re bringing the whole CDN in-house (probably not, but just in case), you can change the base URL for all resources loaded by Babylon:
BABYLON.Tools.ScriptBaseUrl = "https://my.wonderfull.server";
If you’re just bringing in the KTX2 codecs, see Documentation/content/setup/frameworkPackages/CDN.md at 128eb8d0b6e4441795bb5d28892aa737cf15145e · BabylonJS/Documentation · GitHub
If you need to also configure the workers, see Documentation/content/setup/frameworkPackages/es6Support.md at 128eb8d0b6e4441795bb5d28892aa737cf15145e · BabylonJS/Documentation · GitHub