If your intention is to associate your Azure subscription with another Entra tenant, then follow https://learn.microsoft.com/en-us/entra/fundamentals/how-subscriptions-associated-directory
If your intention is to use a custom name in your existing Entra tenant, then follow https://learn.microsoft.com/en-us/azure/frontdoor/standard-premium/how-to-add-custom-domain
hth
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hth
Marcin