CD: No. USB: Yes.
A USB drive looks like a normal hard drive to your computer. You could divide it into partitions. A CD, however, can't. It uses (someone correct me if I'm wrong) the ISO9660 filesystem, which is read-only, and it has no partition table. It would be possible to run 2 live cds, however. Maybe you could use a DVD instead and have room for several.
I think the process would look something like this:
- Get the first CD you want (say Knoppix)
- Make a directory called newcd or whatever
- Inside it, make a subdirectory called Knoppix
- Copy everything from the Knoppix CD except ISOLinux (someone can help you find the files)
- Get the next CD and repeat
- Install ISOlinux to the main directory of the CD and create an isolinux.cfg file to boot different CD's.
You can look at the isolinux.cfg file from each original CD to figure out the options. If one uses GRUB, it shouldn't matter. You could also use GRUB on the CD if you can figure out how to install it.