Can I set up a domain name in WHM (Web Host Manager) which doesn't actually exist?
It isn't recommended that you set an account up unless the domain name actually exits for two reasons.
1.) Unless you know the person it it probably a spammer needing an account just long enough to send spam from the server. Thus getting the server blacklisted and all mail getting sent from it rejected by the world for weeks or months thereafter.
2.) WHM does have the (buggy) ability to change the domain name after it is set up but 10% of the time something goes wrong and the only fix is to delete and recreate the account.