I think you may be thinking of CD-i [CD Interactive] of which CD+G was a sub-category.
I remember the company I worked for in the 90s investigating this & other technologies at the time; but we were too late to the market to really be able to make anything of it & it never really took off.
The first one I recall personally was The Beatles, Hard Day's Night [University of Toronto Library lists it as 1993 - also says it's Quicktime, so it may not be the same as CD-i]
However, this Wikipedia article tells me the first CD-i was Todd Rundgren, No World Order, in 1993…
In 1993, American musician Todd Rundgren created the first music-only fully interactive CD, No World Order, for the CD-i. This application allows the user to completely arrange the whole album in their own personal way with over 15,000 points of customisation.
Prior to that, it was marketed as a game format.
Phillips discontinued the format in 1998.
http://www.icdia.co.uk/archive/music.html lists releases back to 1991, but it doesn't differentiate between CD-i & CD+G [both of which the original Phillips players were capable of playing]
It doesn't list Hard Day's Night, though it does mention another one I had at the time - Xplora 1 - Peter Gabriel's Secret World.
The Todd Rundgren album is listed as TR-I, the name it was released under.
Their homepage - http://www.icdia.co.uk - lists more resources than I needed to read on the subject.