You can test if this is an issue by creating a standard web to lead, and check what the URL is in the form. To create a web to lead, follow
And then take a look at the line that starts
does it look like
<form action="https://www.salesforce.com/servlet/servlet.WebToLead?encoding=UTF-8" method="POST">
or does it look like
<form action="https://myorg.my.salesforce.com/servlet/servlet.WebToLead?encoding=UTF-8" method="POST">
If the first, then the fact you are using a custom domain shouldn't make a difference.