You want a server from slack to get cookies from workplace.com?
If you use your own domain, that should equal self-hosting. Using another domain than your company's does not mean it can't be self-hosted, but it is a strong signal. And AFAIK, Slack does not offer anything like redirecting to on-prem instances from slack.com.
And conversely, there is no way to self-host Slack, right? Which was gp's point.
Plenty of SASS solutions take the CNAME approach.
e.g. add *.ext.workplace.com