DLP OneDrive

You can define your own custom sensitive type and upload to security and compliance center. Once it is uploaded, you can define your DLP policy using custom sensitive type. You can refer below link for the same

https://support.office.com/en-us/article/Create-a-custom-sensitive-information-type-82c382a5-b6db-44fd-995d-b333b3c7fc30

Few things to keep in mind:

1) You can define your custom regular expression to look for patters for sensitive data.However, Microsoft has imposed many limitations on what cannot be used for defining regular expression. Check this thing as it sometime become a big issue.

2) Custom sensitive types are supported but as per our experience , MS still has this feature pretty immature. We deployed custom sensitive type in our dev tenant and figured searched stopped working. We opened case with Microsoft and got to know that crawlers were in stopped state because of custom sensitive type present.