Question: Can i change URLs ?
From: https://MYCOMPANY.sharepoint.com/:w:/r/personal/my_custom_dns/15/Doc.aspx
to: https://MYCOMPANY.com/:w:/r/personal/my_custom_dns/15/Doc.aspx
Answer: Nope! Not possible.. copy paste below answer from MS tech support:
MS ANSWER:
With the flexibility that Sharepoint provides what is editable on the URL of the Sharepoint URL, is only the parent domain attachment of the Sharepoint URL, so with the initial question.
https://MYCOMPANY.sharepoint.com/:w:/r/personal/my_custom_dns/15/Doc.aspx
the above is editable with various replacements of "MYCOMPANY" in the above URL, This is in reference to the article in the below linkLink: https://docs.microsoft.com/en-us/sharepoint/change-your-sharepoint-domain-name
However the above article states that the Vanity domain are not given the same flexibility Vanity domain configurations If your SharePoint domain is, for example, teams.contoso.com (versus contoso.sharepoint.com), your domain name can't be changed. No action available.
We have to live with:
https://MYCOMPANY.sharepoint.com/:w:/r/personal/my_custom_dns/15/Doc.aspx