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I would like to use my domain for that, but was always wondering if I could do that while using my domain and other non mail subdomains on another server
Yes an MX dns entry only applies to email, you can have other entries (A, AAAA) for a normal server.
So I would add a MX entry and set it to the ip of the Proton Mail Server?
Yes, the extra details are documented here https://proton.me/support/custom-domain
Cool, thanks