Creating a custom embed using an oEmbed API with Cloudflare Workers allows for embedding content from one platform onto another. By setting up a serverless oEmbed API, developers can provide a seamless experience for users when embedding their product into other platforms like Notion. The process involves defining the route for the API, creating a function that takes in the URL and returns the oEmbed data, and including a link tag in the HTML to indicate the URL of the endpoint. This allows developers to embed their SaaS product into various platforms while maintaining control over the embedding experience. Additionally, reaching out to Iframely is necessary to whitelist the domain for Notion integration.