I now have a grml-ISO running with unionfs, now it's possible to run 'apt-get install foobar' when running from CD. :-)
I had to use some hacks (thanks to the debug-bootparam ;-)) to get unionfs working. But it shouldn't be that much work to make it more elegant and working smooth. ;-) If I can handle it a devel-release might be available at the weekend.