Currently, we do not support custom domains for short links. Additionally, Setu's short link comes with an advantage of providing universal experience like support for iOS and web, etc which is difficult for the native deep link or for the merchant to support on their own.
If you still want to do so, you can take the upiLink parameter from the Setu API call and create your own short link that points to this link. This is quite easy to do with available link shortening services or your own self hosted version of some service. We would, however, not be able to provide any data, support or warranties for such links.