I see documentation in https://docs.joomla.org/Creating_a_Custom_404_Error_Page
but the custom 404 error page doesn't make change the Google Search Console requirements, because Joomla normally redirects to 404 soft page and result code HTTP 200 OK, but it's necessarily return 404 code in protocol status code level.
How can I configure or change Joomla CMS to return 404 status code in HTTP?
A major issue in Joomla when it comes to SEO is that it doesn't return a 404 HTTP code on 404 pages, and this results in the "soft 404" errors in the Google Search Console. The right way to handle this problem is to return the 404 HTTP response in your error.php file as described here. This will ensure that your 404s are real 404s. The weird thing is that Joomla, by default, does know when there is a 404, but it returns a 200 OK instead.