Third parties aren't necessarily locked away though, NES and SNES Classics have both included third party. In fact, arguably the greatest Third Party game on the Sega CD, Snatcher, is Konami, who have games on both those "Mini" releases, and has no license attached.
No idea who owns Lunar currently though, those might be tough to get on there. But Shining Force CD would be easy, Sega still owns that IP.
I think Game Arts still owns the Lunar IP.
GungHo Online Entertainment owns Game Arts (they published the recent Grandia II PC port, for example).
I would so be on board for a Sega CD mini. I wouldn't even mind some of the games being FMV games:
Tomcat Alley
Double Switch would be cool
If it hadn't just got a rerelease, Night Trap would have been a no brainer
I love Cobra Command
I'm sure people would be on board for Road Avenger
Same goes for Time Gal.
For nostalgia, Sewer Shark maybe
Non FMV games?
The Lunar games are obvious choices.
I can't imagine Popful Mail would be hard to get (Falcom, Sega, and whatever rights the remnants of Working Designs still retains)
Snatcher is a no brainer
Soul Star would be neat
AH-3 thunderstrike is still kind of fun
Wouldn't mind seeing Sol Feace again.
Same goes for the Sega CD port of Ecco the Dolphin
Final Fight CD would be a good edition
Dark Wizard is an obscure tactical RPG offering
Shining Force CD should be on there
Eternal Champions CD (its the best version of that game)
Silpheed perhaps
Terminator CD
The Misadventures of Flink is way underrated
Robo Aleste
I wouldn't do Secret of Monkey Island, and I probably wouldn't do Sonic CD. There are better ways to play both games.