Hello! Can we add custom issue between story and sub-task in Advanced Roadmap
hierarchy?

Hi @Boris Sychkin - no; it is not currently possible to do this. The links between the first three levels in the hierarchy (Sub-Task, Story, and Epic) are a bit special in Jira and are less flexible than the levels above epic.
Out of interest, what are you trying to achieve with this in your team/organisation?
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