I don't think it is possible to convert a save game to a scenario. If you manage to do please tell me how.
There is a workaround for your problem: you can do all the countries in CGM that you wanted, save them. After that you can copy the selected countries from the different saves and paste them in a common save file.
Once I was able to "transplant" a country with its stats and OOB to a different save game. (The only problem are the different borders, but if you use the same year for CGM it shouldn't be a problem.)
If you leave your alliance in CGM it may cause some problems when you copy-paste. Anyway such problems can be solved while editing the save.
@CGM and multiplayer: it works completely fine you just have to wait for the other players to finish the tech and deployment sections. The only annoyance is when you have to wait for the others to finish.