Add your domain example.com to DH using the add domains option but do not change the nameservers for example.com. i.e. leave the domain pointing to where you want it to.
Now go back and try to add your subdomain into DreamHost.
You will obviously need to add your A records and any other host records as needed into your domains zone records.
DreamHost are just telling you that your domain needs to be physically added first before youcan actually add a sub-domain into the system. You do not have to use it.