Can't delete custom DNS Entry of deleted domain

In my Custom DNS entries, I have an A record I can’t get Delete:
Custom DNS (Error)
mail.EXAMPLE.com is not a domain name or a subdomain of a domain name managed by this box.

I’d rather not have to add an email address for that domain just to be able to resolve this. Actually, I’m hoping there’s a more proper way to do it, even if it’s command line.

Looks like you had this domain email address created, then created a sub-domain in ‘custom DNS’ and finally you deleted the told email address and your told sub-domain become orphaned and you can’t delete it now …

To solve it just create the domain email address again… Delete now ALL ‘custom DNS’ you have of this domain … When sure, delete again the told domain email address.

I know I can do that, but I want to figure out why this is happening. I’ve looked through all the zone files and there’s nothing for that particular domain.

So…where are these Custom DNS entries stored? I see some in the zone file for my default domain, but nothing for that additional domain.

See this screenshot for more detailed info (what more could I do !?).