Hello @Emz_davidson & welcome to the Community!
First of all, sorry for your loss.
Spotify songs can only be managed from the Spotify app itself, so there's no way to burn the song on a CD.
Maybe the CD player you mentioned has an auxiliary (aux) input so you can connect a device and play the songs from there.
Try checking, and if there is, you just need an aux cord to connect your device.
Hope this helps! ♫