You can link images from outside sources as long as they exists on a secure https connection. You would need to create a subdomain for the main domain if the main domain is already linking to shopify. For example files.mydomain.com.
What exactly are you having a problem with?
@Gemma - If I understand your requirement correctly, you want to continue using the same process of uploading product images on your store. Its just you don't want images on your website to load from cdn.shopify.com?
If that is the case then you will need to use some other CDN or better image CDN like ImageKit.io which not only allows you to use a custom CNAME like images.yourstore.com but also optimizes images while delivering. So you don't have to worry about site loading speed.
This requires changes in template files. Here is the guide - https://imagekit.io/blog/optimize-images-shopify-website-imagekit/
ImageKit's team can help you with integration if you are stuck.
Disclaimer - I am the co-founder of ImageKit