DNS - MX and NS record names

What could be reason behind Cloudflare not allowing me to add a MX record when a NS record already exist with the same name?

Because the server the NS record is delegated to is the appropriate place to create the MX record as you’ve specified it is authoritative for all records at that node level.

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Can you please explain me in little more detail? I am not sure if I understood.

like I have a NS record named “abc” pointing to ns.example.com. Now I want to create a MX record with same name “abc” point to mail.example.com and I cannot create it and it gives out an error that NS record with host name already exist

By creating an NS record for abc, you have said that ns.example.com is responsible for answering any questions about abc. So the MX record needs to be created for @ (which is the root of abc) on the ns.example.com nameserver with whatever values you want returned for that delegated subdomain.

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that makes sense. Thank you for your help!

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