Yes, you can use your own domain name for your mailing-list.
When you order a mailing-list using your own domain name, new DNS records are needed so that its emails get delivered to our Mailman servers.
To explain using the top-level domain name example.com -- you may already have a website at https://www.example.com, and you may also be using a regular email address such as bob@example.com. If you don't already, you may want to in the future.
To separate your mailing-list's email traffic from your regular email, and separate your website from the list's webpages, a subdomain is used -- such as lists.example.com.
Your mailing-list's email address would then be, for example, members@lists.example.com -- and its public and administration pages would be at https://lists.example.com.
It's for this subdomain that new DNS records are required. Some people prefer to use their top-level domain anyway, and that still requires their existing DNS records to be edited so traffic is directed to our Mailman list servers.