Please check the NSG rules, ICMP is blocked by default in Azure NSGs. Allow inbound ICMP traffic on the Azure VM's NSG.
Also, verify your VM Firewall, ensure Windows/Linux firewall allows ICMP requests.
Another possibility could be VPN Routing, ensure routes between Hub VNet and HyperVNet are correct.
finally, if using nested virtualization, enable IP forwarding on the VM NIC.