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From the docs, it looks like you need the _name_ of the customer domain, rather than the actual custom domain. <https://www.pulumi.com/docs/reference/pkg/azure-native/cdn/customdomain/#customdomainname_csharp>

The example suggests the same <https://www.pulumi.com/docs/reference/pkg/azure-native/cdn/customdomain/#customdomains_create>