If you have purchased a domain from WordPress.com and wish to transfer it to a 3rd party, please see instructions here –
Move Your Domain to Another Host
and here –
Transfer a Domain to Another Registrar
See instructions here when transferring a domain to Squarespace
If you do not wish to move your domain away from WordPress.com com and just point to a 3rd party, you also have this option – https://en.support.wordpress.com/domains/setting-custom-a-records/
Please let me know how it goes ok?