"Virtual subdomain" Transform Rules

I'd like to use Transform Rules to catch any requests to any subdomain on a domain managed by Cloudflare and dynamically transform the URL and redirect to something like https://domain.tld/subdomain. Ideally, I'd like to do this without having to create DNS entries for each subdomain... is this possible?

My hunch is that this might not be possible, but wanted to check I'm not missing something.