Sorry for late answer, but maybe others will make a use of this.
As far as I’m informed, jQuery UI itself does not let you change buttons style easily. I.e. There isn’t such option among all available, that would allow you to do this. In I’m not mistaken, the only way to do it, is to alter CSS file that comes with jQuery UI to modify or overload class these buttons uses.
And since CJuiButton is only a simple helper that helps rendering jQuery UI code responsible for generating dialogs, but does not introduces any new behaviour to it, it is also impossible or not so easy in Yii.