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There is no direct option available to connect a physical Hardware Security Module (HSM) to an Azure VM. To connect a physical Hardware Security Module (HSM), you have to use the Azure Dedicated HSM service. This service provides a physical device for sole customer use with complete administrative control and management responsibility. The device made available is a Thales Luna 7 HSM model A790. Microsoft will have no administrative access once provisioned by a customer, beyond physical serial port attachment as a monitoring role. As a result, customers are responsible for typical operational activities including comprehensive monitoring and log analysis.
Ref: https://learn.microsoft.com/en-us/azure/dedicated-hsm/overview
Alternatively, you can use Azure Key Vault to store and manage cryptographic keys and secrets. Azure Key Vault supports HSM-protected keys, which are stored in FIPS 140-2 Level 2 validated HSMs. This provides an additional layer of protection for your keys and secrets.
Ref: https://learn.microsoft.com/en-us/azure/key-vault/keys/hsm-protected-keys
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