It’s not possible to change the NS records when using Netlify DNS as Netlify is not a DNS registrar. They purchase their domains via 3rd party registrar and cannot manage them on your behalf. If a domain was purchased through Netlify the NS records will be pointed to their DNS servers automatically.
If you’d like to use an external DNS provider you’ll have to first transfer your domain name out to another registrar (see: [Support Guide] How do I transfer my domain name to (or away from) Netlify?), assign the NS records to Cloudflare and then follow the external DNS guide to configure Cloudflare to point to Netlify’s servers. In addition, due to ICANN policy domains cannot be transferred to another registrar until 60 days of their last registration or transfer have elapsed.
You’ll also want to disable proxying to Netlify if you’re using a service like Cloudflare. You can read more about why that’s advised here: [Support Guide] Why not proxy to Netlify?