If you have a custom domain that host on third party provider, and you want to add the custom into Office 365, please refer following links to verify your domain.
However, your DNS record will host on your DNS hosting provider in this way. If you don't want any third party DNS hosting provider to host your DNS record, you can use Office 365 default domain (xxx.onmicrosoft.com), which Office 365 will assign to you
automatically after you registered.
Sign in to Office 365 admin center > Setup > Domains.
Thanks,
Iry
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