By default Microsoft provides *.Onmicrosoft.com domain as shown below:
But still you can add additional domain as far as you have valid global domain name registered with any name providers.
In may case i have domain name registered with godaddy and i am hoping that the steps will be same for all providers. Please refer KB for more instruction specific to provider
Step 1 – Log in to Azure portal and go to Azure active directory -> click on domain name (shown in above image) -> click on Add button.
step 2 – Copy all detail like MS=ms##### record since this is required for further process , Keep the page open since we have to finish validation at the end once we finish with txt record on domain name provider side.
Step 3 – Log in to your domain name provider account and then go to manage DNS (in may case GoDaddy). If you don’t have access to update the DNS entry, ask the person or team who has this access to complete step 2 and to let you know when it is completed.
Step 4- Update the DNS zone file for the domain by adding the DNS entry provided to you by Azure AD. This DNS entry enables Azure AD to verify your ownership of the domain. The DNS entry doesn’t change any behaviors such as mail routing or web hosting.