The DP only has analog outputs. So the only way to connect it to anything is to the analog inputs of the external device.
Why you would want to do that is another story though. It's not really a good idea.
When you record the mixdown to the internal recorder you preserve the original resolution (you are working in 24 bit/48 kHz, aren't you?) CDs are 16bit/44.1 kHz so that's the lowest resolution the DP can work in.
Additionally, when you mix with the internal recorder, you can then proceed to the Mastering section and master the song.
If you mix to the CD player you will be disappointed because the mix won't be mastered and be loud enough when you play it. The mix will sound weak and amateurish compared to your commercial CDs. Plus you might be introducing noise from the extra conversion steps. And it most certainly will be lower resolution than what the DP is capable of producing.
But by all means, try it if you like. Use the Stereo outputs on the DP into the analog inputs on the CD recorder.
