If you want something more similar to your example try _itot_s. On Microsoft compilers _itot_s points to _itoa_s or _itow_s depending on your Unicode setting:
CString str;
_itot_s( 15, str.GetBufferSetLength( 40 ), 40, 10 );
str.ReleaseBuffer();
it should be slightly faster since it doesn't need to parse an input format.