Custom subdomain dev branch authentication error

I have a domain managed by Cloudflare, that I use to open a site on pages, and development branches protected by Cloudflare zero trust authentication, everything works great.
I created a “preview” subdomain to open the “preview” branch (preview. mydomain, but it doesn’t work with zero trust authentication. When I click the link from the confirmation email I am redirected to a page that does not exist, I get a 404 page not found: This preview. mydomain .com page can’t be found No webpage was found for the web address: https:// preview. mydomain .com/cdn-cgi/access/authorized?nonce=etc…
Everything works fine if I use the address directly preview. mydomain

Any suggestions? Thanks