You have an Azure subscription. You create an Azure Active Directory (Azure AD) tenant named
Tenant1 that has a domain name of tenant1.onmicrosoft.com. You need to add the contoso.com
domain name to Tenant1. Which DNS record should you add to the contoso.com zone to be able
to verify from Azure whether you own the contoso.com domain?

A.
standard alias (CNAME)
B.
mail exchanger (MX)
C.
host (AAAA)
D.
signature (SIG)
Answer should be B, Mail Exchanger (MX) record to verify a custom domain.
You can use a txt record or alternatively an MX record. as TXT record isn’t an option, the only option left is MX. you would add the MS=xxxxxxxxx into these record.
https://stackoverflow.com/questions/22380653/verify-a-domain-name-in-azure-active-directory
https://docs.microsoft.com/en-us/azure/active-directory/add-custom-domain#add-a-dns-entry-for-the-domain-name-at-the-domain-name-registrar
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