After contacting the nice support people at MaxCDN, I got an answer that fixed my problem. It seems that you need to turn on Cross Origin Scripting in order for retina.js to load images from a different url (e.g. cdn.yoursite.com).
Add the following code to your .htaccess file and you should be good to go:
# ----------------------------------------------------------------------
# CORS-enabled images (@crossorigin)
# ----------------------------------------------------------------------
# Send CORS headers if browsers request them; enabled by default for images.
# developer.mozilla.org/en/CORS_Enabled_Image
# blog.chromium.org/2011/07/using-cross-domain-images-in-webgl-and.html
# hacks.mozilla.org/2011/11/using-cors-to-load-webgl-textures-from-cross-domain-images/
# wiki.mozilla.org/Security/Reviews/crossoriginAttribute
<IfModule mod_setenvif.c>
<IfModule mod_headers.c>
# mod_headers, y u no match by Content-Type?!
<FilesMatch "\.(gif|png|jpe?g|svg|svgz|ico|webp)$">
SetEnvIf Origin ":" IS_CORS
Header set Access-Control-Allow-Origin "*" env=IS_CORS
</FilesMatch>
</IfModule>
</IfModule>