1) How to define rigorously the Gromov-Hausdorff distance between two compact metric spaces.
Let $X$ and $Y$ be two compact metric spaces. As I said in a comment, one does not need to consider all possible isometric embedding of $X$ and $Y$ into any metric space. Any such embedding yields an embedding of $X$ and $Y$ into $X \bigsqcup Y$ (the later being endowed with a pseudo-distance, not a distance).
Hence, one only need to consider all possible pseudo-distances on $X \bigsqcup Y$ whose restriction on $X$ is the distance on $X$, and whose restriction on $Y$ is a distance on $Y$. Then they take the minimum of the Hausdorff distance between $X$ and $Y$ over all such compatible pseudo-distance on $X \bigsqcup Y$. The result is the Gromov-Hausdorff distance.
2) How to work rigorously with a "set of all compact metric spaces".
One proposition says, naively, that "the set of all compact metric spaces, with the Gromov-Hausdorff distance, is a Polish metric space". In particular, it is separable. One can prove the separability by showing that the set of [finite metric spaces with rational distances, up to isometry] is dense in the "set" of [all compact metric spaces, up to isometry].
This proposition, as it stands, lacks rigour. However, we can use it to build a "set of all compact metric spaces, up to isometry", the same way one can construct the real numbers: via completion.
we start from the set $E$ of finite subsets of $\mathbb{N}$, endowed with a metric;
we endow $E$ with the Gromov-Hausdorff pseudo-distance;
we take the equivalent classes of $E$ with respect to the equivalence relation "being isometric". The Gromov-Hausdorff pseudo-distance goes to the quotient, and gives a true distance. This gives a metric space $F$.
we take the completion of $F$ with respect to the Gromov-Hausdorff distance. This gives a Polish metric space, $G$.
for any point $x$ in $G$, we construct a compact metric space $X_x$. This is perhaps the most delicate point; any proof of the "completeness of the set of all compact metric spaces, with the Gromov-Hausdorff distance" should show how to do this.
then we can consider the set of all such compact metric spaces, indexed by $G$. The construction above can be done without any use of the axiom of choice (i.e. it can be done explicitely).
we check that the Gromov-Hausdorff distance between $X_x$ and $X_y$ is the distance between $x$ and $y$ in $G$. Hence we get a set $H$ of compact metric spaces isometric to $G$.
at last, show that any compact metric space is isometric to an element of $H$.
The space $H$ is the one you are looking for (naively, the space of all compact metric spaces, up to isometry).