There are three ways to do this. Pick whichever fits your workflow.
From Find Teams Users
Open the convly Slack app, click Find Teams Users, search for the person, then select ... > Send DM. Write your message and hit send.
From a hybrid channel
In any synced Slack/Teams channel, type /convly and select a user from the popup. Click ... > Send DM. Type and send your message.
From the Conversations tab
Open the convly app, go to Conversations, select a conversation, click Users, choose a person, then select ... > Send DM. Type and send your message.
In all three cases, a matching Slack channel is created automatically, and your message lands on the Teams side within seconds.