You can absolutely publish a DKIM key for the domain and provide it to DomainB so that they can add this to DNS. You'd need to do that by adding the domain, then enabling DKIM as you would normally. 

That said, messages sent via their O365 environment will lack those DKIM signatures so you'll want to make sure their DMARC policy doesn't reject or quarantine those messages.

DKIM signatures have a scope parameter, so that different entities can be given different scopes to use for different purposes.   Your client can probably configure DKIM signing on his O365 messages if desire, and he does not need to use the same private key as you are using.   Best practice will be to use a different scope (and key pair) for any O365 signatures.

Thank you Kyle and Douglas for your help.

But if I add the domain on my SmarterMail, I'm afraid it will intercept mail sent to this domain and as mailboxes are not on this server, it will fail ?