I meant redirect a not existent subdomain somewhere else.
It doesn't matter whether it exists or not. It only matters that the DNS points the request to the right server. The originally requested domain has to allow wild-card subdomains; otherwise you'll never get there. But if wild cards are enabled there should be no problem.
The essence of a redirect-- of any kind-- is that you're grabbing the request before it reaches its intended target. So it makes no difference whether the original target physically exists.