If this domain name isn't used as primary email address. You will could remove this domain from your Office 365 directly. This email address will be remove from users automatically(Because unverified domain name cannot be used for email address in Exchange online):
If this domain name is used as primary email address:
You could filter those mailboxes first:
Then change primary email address for them in a batch
After that remove the domain from your Office 365.
Second question is: Email Alias and Proxy address both are same thing?
They are two thing. Email Alias in Office 365 is contained in Proxy address.
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