The battery can be changed, but it’s soldered in place.
Plus, the battery is a rechargeable type, ML2016, so you can’t use a regular lithium button cell without causing problems. You’ll have to replace the battery with either the same type or possibly even find a way to install a 2032 coin cell holder and install an ML2032 (not a CR2032, as that kind of battery isn’t meant to be recharged).
BTW, what model Sega CD do you have?