The best module to use with any IoT Broker is the MQTT module on the appstore:
The module allows you to connect your Mendix app using MQTT protocol. In the module you can subscribe to topics from the broker and execute a microflow every time a message is received. You can also publish messages back to the broker.
If Azure doesn’t support MQTT i would advice using the Mendix native REST capabilities to pull the data from Azure
Did you have already created a consumer for your IOT service which populate your data in the app?