I know this is A) old post and B) I don't know of any tickers / servers to download CPI from.
However, I was bored and spent maybe an hour? putting together a powershell script that can do this for you from the API.
To use you will need to use powershell (I recommend the Powershell ISE) and enable running scripts (Set-ExecutionPolicy option). Then download the script and rename it it .ps1 from .txt
When you run the script it will ask you what series of data you want to download -- I've included the 3 most popular CPI options I could find and you can add your own. It will ask what end year data you want to download and then how many years prior. The free API only allows 10 years max so that is all you can select.
It will download the data, convert it from JSON, and reformat it for FM, and spit out a csv with the data in it in the same folder you ran the script from.
Then import the prices into using the generic import option with the following format:
SYMB,MM,DD,YY,NAV
The SYMB is the series name the BLS uses.
To use I'd buy one share of the ticker and then import the 'prices' of CPI
Not as elegant as an internal quote server to download from but more convenient then manually looking it up and entering it. And in theory you can run ~10 - 10 year blocks and get all the historical data.
Just beware the free API only allows you to run it 25 times a day