Yes, and no. For your purposes, no. At least not the way you are trying to do it.
Ok, but you still are going to want to set up mail as though MiaB is handling it.
It is as simple as just creating a new user in MiaB … but you want the email address to be user@subdomain.domain.tld
Once you have added a new user, you can then use the Custom DNS page to modify and add the necessary records for Mailgun to be happy.
A good part of this article is irrelevant but it does explain quite well how to set up Mailgun. You’ll only want to be concerned with the “Configuring Your DNS Records” section…