Yeah Rico hit it on the head.. Where you can run into problems is when the site could be really any IP owned by the CDN its being hosted on.. So the specific IP you use could change all the time..
And some of these have ttls as short as 60 seconds for example... So when the filterdns process runs (every 5 minutes by default) that populates your alias for www.somedomain.com you get IP 1.2.3.4... But then 3 minutes your client wants to go there and you get 4.5.6.7 which is not in your alias.
Even if you put in the whole swath of IPs that are owned by CDN.. you now get sites that you might not want going through the vpn since they are hosted on the same CDN, etc.
So while yes you can do it.. Be aware that there could be complications based upon if that fqdn is hosted on CDN..