Does the CPU of your Macbook Pro overheat when gaming using a Thunderbolt external GPU?
No, the CPU does not overheat. 

There's no extra CPU-load from the fact that you're using an external GPU compared to an internal GPU.

In addition your CPU cannot overheat in a functioning MacBook Pro. The system will use the fans to cool down the CPU. In the event the fans are not functioning (i.e. broken hardware), the MacBook Pro would simply turn off instead of overheating.