Currently the Fedora projects provides cloud images as qcow2 and raw disk files. Microsoft’s Azure however only supports VHD files. Fortunately qemu-img can convert between those formats: Note that the subformat options fixed and force_size are required for Azure to be able to use the disk image since Azure only supports fixed sized disks.
Thankfully the Fedora Project provides cloud images that can be directly used or easily modified to run on almost any cloud environment. Though sometimes, it can be handy to build your own image.