GitLab was unable to verify the custom domain, their suggested entries didn’t seem to work.

Using the following worked:

sub = Your subdomain (or @ for root)

sub 1800 IN A 35.185.44.232
sub 1800 IN TXT "gitlab-pages-verification-code=###CODE###"

Make sure to double check the IP for GitLab pages.

Note: This failed after switching to CloudFlare, which accepted the GitLab suggested input and verified within minutes.