We would like to serve up the data files for the WebGL player from KeyCDN but so far not having much luck.
Has anyone managed to do this?
We are finding that we can serve uncompressed files but despite setting all the configurations for gzip that is failing.
So it seems like it should be possible…
This seems to be a general issue with all CDN servers we’ve not yet found a way to make any work.
I’m currently using WebGL builds with Amazon S3 and Cloudfront. Prior to Unity 5.2 (can’t remember the exact version), I had to manually set the configurations for gzip but now it’s as simple as drag and drop.
We have found that if we load the entire project from a cdn then that is ok, but if you try and just load the data files from there and not everything else then it fails.
We’re are still looking into how to get around that
I use KeyCDN to serve our compressed data, mem and js files.
I ended up having to use a Pull zone rather than a Push one as you couldn’t control the header and the rewrite on a Push zone.
Set up your origin server as normal and use the .htaccess file provided by the build to rewrite .data to .datagz and to add the gzip encoding in the header.
Set up the Pull zone in KeyCDN to point to your origin server.
KeyCDN will adhere to the rules in the .htaccess file and fetch the .datagz file as if it were .data along with acknowledging the gzip encoding. When requested from the CDN the .datagz file will now be passed on as .data with gzip encoding header and the loader doesn’t fail back 
@monark - Did you find a solution?
We ended up switching to Amazon S3 and to use that you gzip the files and then remove the .gz extension.
When you upload them you then add a Content-Encoding header set to gzip.