Setting up your own DNS server will not help to discover registered domain names.
There is no any way to discover 100% of registered domain names. Even Godaddy can't.
For classic/gTLD zones (.com/.net/etc) most of domains can be found in zone files. You can apply to ICAAN, Verisign or use domain lists aggregators like zonefiles.io
But country-code registrars (.de/.uk/.fr/.tr/etc) never discover their zone files to any 3rd parties. That means that no one can provide complete lists of all country-code domains.
Nevertheless, you can again use domain likes aggregators (and get 85-90% of domain base). Some of them combine domain lists from original zone files with their own data (they built web crawlers that scan the entire internet for country-code domain names - much like search engines do).
Currently this is the easiest way to get lists of domain names. As mentioned above, 100% coverage is not technically possible.