Sending from a subdomain is similar to sending from the root domain, which I am going to cover briefly. In order to send from "@ANYdomain.com", you would need to first authenticate "ANYdomain.com" using SendGrid's Domain Authentication as seen here.
Once "ANYdomain.com" is authenticated and valid in SendGrid, you can send mail from any_email@ANYdomain.com. You do not need to authenticate a single sender, as domain authentication covers all possible email senders. You may have already done this step, and do not need to repeat it if you have a valid root domain already.
To send from "@ANYsubdomain.ANYdomain.com" you would need to follow the same domain authentication process linked above, but instead of using the "ANYdomain", you would use the full "ANYsubdomain.ANYdomain".
This will create records like "em####.ANYsubdomain.ANYdomain.com", which will need to be added to the DNS registrar for the root domain. This is the registrar for "ANYdomain.com" in this example.
Once the subdomain records are added and the subdomain is valid in SendGrid, you will be able to send from any_email@ANYsubdomain.ANYdomain.com.
With both the subdomain and domain authenticated you would be able to send from both domains as needed. If you wish to send from a different subdomain, you will need to authenticate that one in the same way.