Domains CNAME without server?

Edit: Duhhh for some reason CNAME won't work unless you use DNS only with Cloudflare. It won't work with DNS + HTTP proxy (A record works but CNAME doesn't).

Does anyone know if adding a CNAME URL to a domain that's not referenced on any server will work?

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For example, in Cloudflare I have the CNAME "redirect" as an alias of an external URL "y7tph.domain.com".
"redirect.mydomain.com" should work, shouldn't it?
The nameservers are fully propagated but I can't see the CNAME.

I've not had this problem when using A records.
One of my domains has a single A record "go" pointing to an external IP and it works.