The answer is we cannot change the domain name after the subscription... if you want to use new domain name - you need to subscribe one more time with the new domain in Office 365.
As per Microsoft rules are as below :
You can't rename the onmicrosoft domain after sign-up. For example, if the initial domain you chose was fourthcoffee.onmicrosoft.com, you can't change it to be fabrikam.onmicrosoft.com. To use a different onmicrosoft.com domain, you'd have to start a new subscription with Office 365.
You can't rename your team site URL. Your team site URL is based on your onmicrosoft.com domain name. Unfortunately, because of the way SharePoint Online architecture works, you can't rename the team site.
You can't remove your onmicrosoft domain. Office 365 needs to keep it around because it's used behind the scenes for your subscription. But you don't have to use the domain yourself after you've added a custom domain.
More on the above description is below :