I've done something along these lines in the past with a few hoops to jump through:
1) Create a parked example.com domain. This will generate some DNS entries for you.
2) Create a parked sub.example.com domain. This will add some entries and free you up for the next step
3) Delete the parked example.com domain. This frees up those DNS entries, yet retain DNS for for example.com via sub.example.com
4) Click on DNS for sub.example.com to add the required CNAME records.
Your mileage may vary, as it's been a while since I did this. I got the original idea from: