Customize native validation message
Similar to this example https://stackoverflow.com/questions/5272433/html5-form-required-attribute-set-custom-validation-message
<input type="text" id="username" required placeholder="Enter Name"
oninvalid="this.setCustomValidity('Enter User Name Here')"
oninput="setCustomValidity('')" />
Fiddle https://jsfiddle.net/ytuee7wr/

Closing this, sorry i have achieved this by passing inputProps
<Select
inputProps={{
onInvalid: (e) => e.target.setCustomValidity('Invalid Custom message'),
onInput: (e) => e.target.setCustomValidity(''),
}}
/>
Most helpful comment
Closing this, sorry i have achieved this by passing inputProps