Correct, it cannot be changed on Cloud.
There is a request open for this, but there is no timeline. Atlassian have not closed it, so they are not saying "no" yet.
This is the request for anybody interested in watching:
https://jira.atlassian.com/browse/CLOUD-7184
And there is also this KB article: https://confluence.atlassian.com/cloudkb/changing-the-cloud-instance-url-address-or-migrating-to-a-new-cloud-instance-691011835.html
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Now it is possible
Please follow this page for further details and instructions on how you can access the feature: https://support.atlassian.com/organization-administration/docs/update-a-product-url/
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This solution is still hosted under the atlassian.net domain. Is there a way to redirect or to have the jira instance to be at jira.mydomain.net?
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Last year's answer still applies.
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All updates on this are on the issue Sam linked to. That's also where you should go to vote if you want to (comments here are not going to help the cause, and +1s are a total waste of time)
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