The VGS Reverse Proxy (Inbound Proxy) works by routing requests to a static hostname. By default, if you have a single inbound route with a single inbound upstream, you can access it by going to your tenant's url at <tenant_id>.sandbox.verygoodproxy.com or <tenant_id>.live.verygoodproxy.com. A request sent to the tenant's inbound URL allows VGS to route that request to the upstream host without needing to provide any additional information in the request about the upstream. For this reason, every fully qualified domain name (FQDN) used as an upstream needs their own inbound route.
Suppose you have a domain with two subdomains: api1.mydomain.com, and api2.mydomain.com. Since a request being sent to <tenant_id>.sandbox.verygoodproxy.com can only be routed to either the api1 or api2 subdomain, using a wildcard as the upstream (ie, *.mydomain.com) is not an option, as the proxy would have no way of knowing which upstream to route the request to.
In order to properly route inbound requests with multiple upstream hosts, each host after the first one will require a CNAME. Your DNS server should point your CNAME towards your tenant's URL, and the CNAME in the inbound request to <tenant_id>.sandbox.verygoodproxy.com will be used to differentiate the upstream host it gets routed to.