This depends slightly which Speedster extension you are using. If you are using the original Speedster this does not support a CDN set up and never will.
For Speedster Advanced the extension will follow your settings for media,skin and js. If you are using a CDN which pulls from the origin a configuration like this will work:
The files are created on your server first and upon the first request to the CDN for this file, it will be pulled onto the CDN. The files created by Speedster Advanced are timestamped, so any changes to your files will automatically cause a new file name of the merged/minified file, so the files on the CDN do not become stale.
To support what you are thinking of you need a CDN which supports Push Zones. This would require a much higher overhead to create all needed files, push to the CDN, and only once successfully placed, update the links on your site to point to the CDN. All this effort would only be needed to optimise the first request for the file (which could also be achieved by including some cache warming crawler in your deploy process).