Hi Jaya,
There are multiple ways to host your Mendix app on Azure – Windows VM / Linus / AKS. You can follow the guidelines here for windows and here for kubernetes.
You can also use Mendix for private cloud when you deploy on Azure.
For authentication using Azure AD :
Hello Jaya,
I think you are combining two questions into one.
Hosting your app on Azure is independent from using the AD. Unfortunately I cannot help you concerning your hosting question.
For the AD you need to implement the SAML module from the marketplace. It is not an easy module to configure, but it works very well.