Forwarding from a subdomain to a URL

Squarepace migrated my domains from Google Domain and I am feeling stuck with something which was so easy in google domains.

I want to create a subdomain for instance   abc.ex.com (the domain in squarespace is ex.com)
and point it to www.example.com/abc

In Square Space I did this:
1) went to DNS Settings:
2) Add Custom Records.
3) Added a CNAME record
4) In Host I mentioned abc.ex.com and when I set in data www.example.com/abc
 It keeps giving me an error, "Enter valid alias data"

I had no such issues in Google domains.

What should I do?