Back when applets were common place, one might have a URL on the classpath. When the classloader required a class, it would search all the locations on the classpath, including http resources. Because you can have things like URLs and directories on the classpath, there is no easy way to get a definitive list of the classes.
However, you can get pretty close. Some of the Spring libraries are doing this now. You can get all the jar's on the classpath, and open them up like files. You can then take this list of files, and create a data structure containing your classes.