Hello, unfortunately, there is no direct feature for merging two mail on outlook or the backend.
For better understanding can you explain the main goal of the second mailbox (on.microsoft.com one) ?
for short, you can enable mail forwarding by the following menu
**Exchange Online Admin Center>>Mailboxes>>Click on ****@onmicrosoft.com>>Mailbox>>E-mail Forwarding
after forwarding emails to your primary mailbox which uses your custom domain you can remove the second mailbox from outlook.
In case you have doubt about the case please don't hesitate to contact me.