The answer to your first question is "sort of". He ghostwrote a story for Harry Houdini in the May-June 1924 issue, "Imprisoned with the Pharaohs," which made the cover, but of course Houdini got te credit, not HPL.
No other HPL story made the cover that I'm aware of, unless it was postumous. He had a number of stories in the early issues, which are very rare and collectible in any condition. His first story "Dagon" appeared in the 7th issue, Oct. 1923. "The Call of Cthulhu" (Feb 1928) is of course very collectible.
I don't know about a CD-Rom, but Girasol Collectibles makes replicas of original pulps right down to the ads and letter pages and they have quite a few Weird Tales.
http://www.girasolcollectables.com/
You can usually get the replicas on ebay for $15-20.