MX record without A record

[ns at linuxplanet.nu]

My isp has a domain called eg1.example.com this domain has no A record, however 
it does have MX records pointing to their relay boxes.


They have asked me to point add an MX record for my domain(julia.net) to their 
relay eg1.example.com on my name server.

My question is, will this work? eventhough eg1.example.com has no A record 
entry on the ISP's nameserver.

Will my nameserver reroute my julia.net mails to my ISP's nameserver.  I am 
just concerned that their is no A record for eg1.example.com.

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