How to map multiple CDS sequences to exome data using bwa mem?
If I have one file containing all the CDS from my reference species, can that be used in bwa-mem? 


That's fine, normal usage of bwa-mem entails giving it a fasta file with all chromosomes/contigs/transcript/etc. in an organism, so your usage is no different. How your custom "make an MSA" script handles that is unknown of course.