No, it's not possible to change the initial domain. While you can add additional .onmicrosoft.com domains (as part of the SharePoint tenant rename feature), changing/removing the initial domains is not currently supported. Refer to this FAQ for more details: https://learn.microsoft.com/en-us/sharepoint/troubleshoot/administration/domain-rename-faq
Most objects and their properties have no dependency on the initial domain, can you clarify what "data" you want to transfer?