Apparently there are reddits just for that https://www.reddit.com/r/CRTAnime/comments/1dwr3bu/what_hardware_do_you_use_to_play_anime_on_your_crt/ https://www.reddit.com/r/crtgaming/comments/wwl43a/how_to_watch_old_anime_on_crt/, but unfortunately they just discuss streaming
Maybe you could try buying a cheap DVD player with USB support? I'm not sure if there is a way to directly connect the pendrive. One of those streaming devices with a converter could also work.