When you create a custom domain in Relay (e.g. mydomain.mozmail.com), any email sent to any alias of that custom domain will be forwarded, whether it exists or not. If it doesn't exist, the alias will be created.
I think Mozilla should allow their users to disable this catch-all feature on their custom domains. It allows malicious mailing lists to send mail without the user even being able to block the sender (since the sender could be a random forwarded alias).