Excellent question. The actuall mass in a CME is pretty small and very spread out so this does very little to a planet without an atmosphere. However, CMEs produce shocks in the solar wind which generate enhanced fluxes of very energetic particles (electrons, protons, and heavier ions). These particles hit the surface of the atmosphere-less planet and essentially kick particles up in to space. If the planet or moon is very small some of the particles kicked up can escape into space, and in some sense the constant bombardment of the planet's surface creates a mini-atmosphere made up of the ejected dust from the surface. We see this happening on our own moon - see http://science.nasa.gov/headlines/y2005/30mar_moonfountains.htm
Cheers - David