In order to provision a custom domain with Mailgun, you need to create it first - a task best achived by using one of the domain registrar services. In this blog, I created the domain didomg.club. The process of domain creation and management starts at the domain registrar (to ensure that you have the rights to the selected domain), continues at Mailgun (to find out what settings need to be defined for this domain) and ends at domain registrar (to make these settings).
Create the domain to be used for Mailgun email service at my own host and domain provider (Namecheap; the chosen domain is shown as taken, since I acquired it before making this screenshot). Note that this action takes place at the domain registrar's site.
Image 1 - create a new domain at your domain provider
Once you have this domain created, switch to domain provisioning - Mailgun (next section) to define all properties needed by Mailgun - properties that then have to be set at the domain registrar's site. The screenshot below depicts all these settings (screenshot taken after the whole provisioning process).
Continue with Domain provisioning - Mailgun