Create a Pull Zone before you start the Phalcon CDN integration.

The simplest but most generic approach is to define the setStaticBaseUri:

<?php

$url = new Phalcon\Mvc\Url();

// Dynamic URIs remain on your origin server
$url->setBaseUri('/');

// Static resources go through KeyCDN
$url->setStaticBaseUri('http://cdn.foobar.com/');

Alternative: Use collections and add a URL-prefix for your CDN URL.

<?php

$css = $this->assets->collection('header');
$scripts = $this->assets->collection('footer');

if ($config->environment == 'development') {
    $css->setPrefix('/');
    $scripts->setPrefix('/');
} else {
    $cdnURL = 'http://example-hexid.kxcdn.com/';
    $css->setPrefix($cdnURL);
    $scripts->setPrefix($cdnURL);
}

$css->addCss('css/bootstrap.min.css')
        ->addCss('js/custom.css');

$scripts->addJs('js/jquery.js')
        ->addJs('js/bootstrap.min.js');

Alternative: In case you don't want to use collections, use this approach:

...
$cdnURL = 'http://example-hexid.kxcdn.com/';
$this->assets
     ->addCss($cdnURL.'css/custom.css', false);
...

As always, verify the HTML source code if the assets are pointing to your CDN URL.