Hi Razzi,
Try reading over the following documentation:
How to Connect Your AWS and Microsoft Azure Environments: A Complete Guide
https://www.megaport.com/blog/how-to-connect-aws-and-azure/#benefits
Within the guide there are a few options available:
Set up VPN tunnels
Build private lines
Set up private connectivity with a virtual router
It might also be best to reach out to a Microsoft Partner to help establish this environment if needed.
If this is helpful please accept answer.