Oh never mind. I did not think that through :)
Adding the domain in Office 365 as an UPNSUFFIX did solve my problem..
"
Click Start, Administrative Tools, and then click Active Directory Domains and Trusts.
Log on to one your organization’s Active Directory domain controllers
In the console tree, right-click Active Directory Domains and Trusts and then click Properties.
Select the UPN Suffixes tab, type an alternative UPN suffix for the forest, and then click Add.
Repeat step 3 to add additional alternative UPN suffixes
"
This might help other people that do not have a routable UPN: