I'm having similar problem.
I deleted the vMX Azure Network from Meraki
I deleted the vMZ Azure App from Azure
I added them both back (same mac/serial), but new Auth Token and Azure Public IP.
The Public IP works into Azure, but no connection back to Meraki Cloud.
Meraki vMX Public IP says "Make sure you can send outgoing traffic to TCP port 7734 through your firewall."
I don't have any Azure NSG in the Meraki App RG.
I'm unable to add a pcap into the Meraki App RG.
It's all a bit odd and opaque how to troubleshoot vMX (re deployment) in Azure