Thank you for reaching out.
You will have to use a CNAME and point it to the CDN endpoint as described here.
The custom domain should resolve to Azure CDN endpoint, as it will provide cached response to the clients and will have less latency. The CDN endpoint will serve the data from its origin (Web App) to provide any un-cached response.
Hope this helps! Please let me know if you have any additional questions. Thank you!
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