How do I override the emoji url?

by

Looking at the code, you should be able to filter it. Something like the following should do it:

add_filter( 'emoji_url', 'wpse_232874_emoji_cdn_url' );
function wpse_232874_emoji_cdn_url( $url ) {
    return 'http://example.com/my/cdn/url/';
}

…replacing http://example.com/my/cdn/url/ with whatever URL you want to use.

Reference