O365 Mail forwarding Question

I'm not entirely sure I understand your scenario. Generally speaking, you can forward to any email address, the server doenst care whether it has a mailbox or not. The same is true for the other side as well, you can forward/redirect messages addressed to a given email without the need of having a mailbox for it. You simply cannot use the "regular" forwarding settings for this, as those are configured on a mailbox level. You can create another object as Chris suggested, or you can just configure a transport rule.

If the problem you are trying to solve is to redirect to newly created mailboxes in a new tenant, which doesn't use the same domain, simply use the default @tenant.onmicrosoft.com domain.

Better yet, give a specific example so we can guide you better.