It's true deterministically in $P_n$. In fact, here's a proof that there is some $c$ so that if $n \leq e^{cd}$ then we have that $V(C_n)/V(S^d) \to 0$.
We'll work with the ball of radius $1$. For a given configuration $P_n$, let $p$ denote the probability that a point chosen uniformly from the sphere lies in the $C_n$; then $p = V(C_n)/V(S^d)$. Let $X$ be a point chosen uniformly at random form the ball $S^d$.
If $X \in C_n$, then there must be a point $y \in P_n$ so that $\langle y , \frac{X}{\|X\|} \rangle \geq \|X\|$; otherwise, then hyperplane with normal vector $X/\|X\|$ separates $X$ from the set $P_n$. Union bounding over all points we have $$ \mathbb{P}(X \in C_n) \leq \sum_{y \in P_n} \mathbb{P}\left( \left\langle y, \frac{X}{\|X\|} \right\rangle \geq \| X \|\right) = n \mathbb{P}\left( \left\langle Y, \frac{X}{\|X\|} \right\rangle \geq \| X \|\right)$$ where in the last line we used spherically symmetry of $X$, and we let $Y$ be chosen uniformly at random from the sphere.
It is thus sufficient to show that this probability decays exponentially. Note that $\mathbb{P}(\|X \| < 1/2) = 2^{-d}$ and so $$\mathbb{P}\left( \left\langle Y, \frac{X}{\|X\|} \right\rangle \geq \| X \|\right) < 2^{-d} + \mathbb{P}\left( \left\langle Y, \frac{X}{\|X\|} \right\rangle \geq 1/2\right).$$ By rotational symmetry of $Y$, we may assume WLOG that $X/\|X\|$ is the first coordinate vector $e_1$. We may sample $Y$ by considering $d$ i.i.d. standard Gaussians $Z = (Z_1,\ldots,Z_d)$ and taking $Y = Z/\|Z\|$. Thus we have that $\langle Y, e_1 \rangle$ has the same distribution as $\frac{Z_1}{\|Z\|}$. We have that $\mathbb{P}(\|Z\| < \sqrt{d}/2) \leq e^{-cd}$, and so $$ \mathbb{P}\left(\frac{Z_1}{\|Z\|} \geq 1/2\right) \leq e^{-cd} + \mathbb{P}(Z_1 \geq \sqrt{d}/4) \leq e^{-c'd}.$$