The example will fail with a CDN build since the dojo.declare call tries to use dojo.dnd.Source directly after doing the dojo.require() calls for dojo.parser and dojo.dnd.source. Since CDN/xdomain loading is an asynchronous loading, the module resources may have not been loaded by the time the dojo.declare call occurs.

To fix this, I would do the following: set djConfig parseOnLoad to false, then change the script block with the dojo.require and dojo.declare calls to something like this (notice the use of dojo.addOnLoad() and the manual call to dojo.parser at the end):

dojo.require("dojo.parser");
dojo.require("dojo.dnd.source");              
       
dojo.addOnLoad(function(){

//Do the declare call
dojo.declare("my.dnd.mySource", dojo.dnd.Source, {
  markupFactory: function(params, node){
    params._skipStartup = true;
    return new my.dnd.mySource(node, params);
  },
  copyState: function(){ return false; },
  onDndDrop: function(source, nodes, copy){
    console.debug('onDndDrop!');
    if(this.containerState == "Over"){
      // we are the target
      if(this == source){
        // reordering items
        console.debug('reordering items');
        // DO SOMETHING HERE
      }else{
        // moving items to us
        console.debug('moving items to us');
        // DO SOMETHING HERE
      }
    }
    // call the original method
    console.debug('call the original method');
    dojo.dnd.Source.prototype.onDndDrop.call(this, source, nodes, copy);
    // of course you can call it before your own processing
    // or somewhere inside your code --- it depends on your logic
  }
});

//Now parse the page for widgets
dojo.parser.parse();
});