You can request a custom domain, you should probably talk to your sales representative about that.
CNAME'ing does not work because: A) SSL will fail for other domains than *.mendixcloud.com. B) the cloud's reverse-proxy servers don't know to which application server they should route the requests.
Just for info (from an SSL perspective) we have used a provider called cloudflare to terminate SSL and then it does a redirect via CNAME to value.
i.e. Visitor <-- SSL --> CloudFlare <-- non-SSL --> Origin (Mendix)