There are complications with doing this in Azure. Simple in AWS ...
If you use NAT mode, you can use SD-WAN and AnyConnect to access resources inside of Azure. However, due to NAT mode, resources in Azure are unable to access resources over SD-WAN.
Previously, you had to use the "basic IP sku" to make AnyConnect work - because this was the only Azure option to allow Internet traffic to initiate a connection to the VMX, which is needed for AnyConnect.
However, Microsoft is now deprecating this option, meaning you have to use the "standard IP sku" - this sku does not allow traffic to be initiated into the VMX. I don't see how it can be made to work now.
The other option is to use SecureConnect instead, which can terminate AnyConnect connections in Cisco's cloud and can build an SD-WAN connection to a VMX in Azure. However, if you do this, you might as well build a tunnel connecting SecureConnect directly to Azure, and not bother deploying a VMX at all.
https://docs.umbrella.com/umbrella-user-guide/docs/manual-azure-ipsec-deployment-guide