In the recent literature, the g-subdiffusion equation involving Caputo fractional derivatives with respect to another function has been studied in relation to anomalous diffusions with a continuous transition between different subdiffusive regimes. In this paper we study the problem of g-fractional diffusion in a bounded domain with absorbing boundaries. We find the explicit solution for the initial boundary value problem, and we study the first-passage time distribution and the mean first-passage time (MFPT). The main outcome is the proof that with a particular choice of the function g it is possible to obtain a finite MFPT, differently from the anomalous diffusion described by a fractional heat equation involving the classical Caputo derivative.