Hmm, according to Wikipedia:
"In May 1991, Philips agreed to Nintendo's request to develop a CD-ROM add-on for the Super Nintendo Entertainment System. It was also decided that upcoming CD-based Nintendo games would be playable on Philips' CD-i console. However, two years later Nintendo did not consider the add-on profitable anymore, and the project was consequently discontinued."
That would explain how the CDi also had Link and Zelda games, I suppose >: