These days it seems like there are new top level domains for just about *.anything. So far adding them to Azure has been painless and no different than any other traditional domain. Office 365 still has some validation though in the portal that will tell you it’s an invalid domain. To save you a call to support – all you have to do is register the domain using PowerShell instead of via the portal.
Here’s the full details http://community.office365.com/en-us/wikis/domains/1577.aspx but basically you download the admin PowerShell scripts and then do the following two commands
new-msoldomain -name Your.DomainNameHere