Update azure requirements and regions

[jackivanov]

Description

• Upgrade azure requirements
• Add new locations

Motivation and Context

Fixes #14704

How Has This Been Tested?

Types of changes

• Bug fix (non-breaking change which fixes an issue)

Checklist:

• [x] I have read the CONTRIBUTING document.
• [x] My code follows the code style of this project.
• [] My change requires a change to the documentation.
• [] I have updated the documentation accordingly.
• [] I have added tests to cover my changes.
• [x] All new and existing tests passed.