Third-party should not be the qualifier here.
Cloudflare's CDNJS sets, by default, crossorigin=anonymous and subresource integrity. Add a "Referrer-Policy: no-referrer" header, and all the CDN sees is either a) nothing, because the client has the resource cached or b) a request for a certain version of jQuery without knowing where it came from.
If you think this is a good idea because it enables technical enforcement, do you also want to ban static.example.com? Because if you don't, you'll soon have pointstothirdpartyadserver.example.com. If you do, you'll have https://example.com/proxytothirdpartyadserver/ instead...
This is not a problem that can be completely solved on a technical level. Enforce the hell out of GDPR and see the problem shrink.