Proxied or unproxied, you cannot use CNAME Setups with Cloudflare DNS > Invalid CNAME 115 target.

Invalid CNAME 115 target. You aren’t allowed to use records with partial suffixes (Code: 9059) A CNAME 115 DNS record pointed to www.example.com.cdn.Cloudflare.net should only be created when you are using a third-party set of of name servers and you need to proxy through Cloudflare on a partial setup through a hosting provider, not on a full setup when you are using Cloudflare name servers. * This option was disabled as it creates a self-referencing loop for Cloudflare internal DNS and overloads it with a large number of requests from external resolvers.