I contacted Microsoft Support and this is what they replied:
Subject: 1243457594 From: Escalation Agent
Hi,
It seems you have an issue renaming or closing your account. Because your account is being managed by a custom domain, please get in touch with your custom domain administrator to better address your concern.
Your domain is currently pointing to third party name servers, so perhaps you need to contact your hosting provider and see if they can assist you. That's not something we have access to, unfortunately. We can only see your domain registration.