The various RFCs relating to DNS and mail exchange specify that an MX record consists of a preference value and an domain name with an address (
See RFC 2181, section 10.3:
10.3. MX and NS records
The domain name used as the value of a NS resource record, or part of
the value of a MX resource record must not be an alias. Not only is
the specification clear on this point, but using an alias in either
of these positions neither works as well as might be hoped, nor well
fulfills the ambition that may have led to this approach. This
domain name must have as its value one or more address records.
Currently those will be A records, however in the future other record
types giving addressing information may be acceptable. It can also
have other RRs, but never a CNAME RR.