Can I import .cda audio file in iTunes on my Macbook Pro with OS X Yosemite

iNads,

.CDA files are simple index files, less than 1 kB in size, that do not contain any audio. There is no reason to import them.

If you have the physical CD and wish to rip it into iTunes, you can import it per this guide: iTunes 12 for Mac: Import songs from CDs