Domain Mapping from Sub-domain to Subfolder / sub-directory on other domain


I have a MU site working on with the appropriate wildcard subdomains configured.

As such, 'child sites' have URLs like

What I want to do, is be able to map a 'child site' like to Essentially, map second order sub-domains to a sub-domain of a different domain.

When in the 'Domain Mapping' plugin, I see "If your domain name includes a sub-domain such as "blog" then you can add a CNAME for that hostname in your DNS pointing at this blog URL." ...but it's not clear to me which domain requires the CNAME.