You must have at least one domain that added to Office 365 before you are available to choose a default domain.
You cannot change the name of your initial .onmicrosoft.com domain.
Step 1: Domain Page
Go to Admin Center, go Settings -> Domains page
Step 2: Select The Correct Domain
On the Domains page, select the domain that you want to set as default for the new email address
Step 3: Default
Select set as Default