Round is the natural form for a CRT--hence the word, "tube". This is very apparent when looking at early (1920's and 30's) television CRTs.
In order to arrange the electrons on to the screen, electrostatic deflection was used (the little electrode plates seen below) to "steer" the electrons. This technology was limited; making a square would of required screens even smaller than the measly few inches they were at the time. (The corners of a square are furthest away from the center)
Later, larger CRTs used electromagnetic deflection. Instead of plates, a "yoke" of electromagnetic coils control the electrons.