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My thesis was submitted, but not published by the library or online yet.
I would like to put its title on my CV. Is this OK? Or is it kind of risky?
There is no obvious reason why including the title of your thesis in your CV might be risky. Just make sure that all information is presented accurately. If your thesis has been submitted, but not accepted, then say "(submitted)".
You wrote the paper, and know the material, so yes, you can cite your paper. Just make sure that its (submitted/unpublished) status is disclosed correctly.
Yes, just ask your supervisor. The risk is to your university if it turns out totally bogus.