Support multiple squarespace subdomains pointing to different servers

So I have a squarespace domain called mydomain.com

My requirement is to point mydomain.com and www.mydomain.com to an external server. That works fine after setting the corresponding A record and CNAME for @ and www respectively in the DNS settings.

Now, I want to create another subdomain, try.mydomain.com which I would like to point to my default squarespace website. I do it by adding a CNAME try -> ext-sq.squarespace.com but I notice that try.mydomain.com keeps redirecting to the www.mydomain.com.

Is it because all subdomains point to the main primary domain in squarespace and its not possible to have separate subdomains point to separate things?

Thanks!