Personally, I would create a network object group, and then have a firewall rule reference that. Then create a script on a schedule (such as once a day) to run a script to update that updates the network object group.
Actually, now that I remember, I created a script that can import CSV files to build firewall rules and construct network objects and groups. You could either base it on that or create another script to download the Azure data and save it in the same CSV format as I am using.
https://ifm.net.nz/cookbooks/mfw.html
I think I originally created this to migrate firewall rule sets from other vendor firewalls to Meraki. You just need to collect all the rules in one spreadsheet and all the objects in another. Save as CSV. Go home early.