No. Saving a script to a writable CD or DVD involves the use of either burning software built into the operating system or a third-party burning program the user has installed. The Save, Save As and Export functions in Final Draft and AV are not designed to work with drives that write with a laser. They're built to work with supported media [hard disks, flash drives, etc.] but if you want to put an FD or AV file onto a CD or DVD you'll need to save the file to one of these media and then use the burning software on your computer.
We've had some users tell us that they were or are able to use the Save or Save As command and have the file be written to a CD-RW or writable DVD, but we have to conclude that the burning software, whatever it was, stepped in and finished the job.