DxO supports DNG, but it depends on the workflow you choose.
If you choose to put DxO in front of LR, DxO will take in a RAW file and pass a DNG file to LR.
If you choose to call DxO from LR, then no, it doesn't support returning a DNG. However, this is a limitation of LR, not DxO, as LR only accepts two formats being returned from external editors: TIFF or JPG. (My source for that statement is DxO.)