If you just want to change the default mendixcloud url for your application, you can submit a request at the mendix support to do this at support.mendix.com.
Changing the application root url?
Do you just want to change the app name. or do you want to change the app url, or do you want to actually move your hosting from the mendix cloud to some other cloud provider?
Do you want to host your app on private server or other environment?
It is possible to add a custom domain to the app. However, this does not affect the urls of the page you are navigating on. It is like an access layer which lets you chose a custom url as an app entry point.
You can do this by configuring a custom domain certificate on application-level. After that, configure your network settings of the production environment (HTTP headers, custom domains etc.).