@AsyncAction From what I am gathering in the documentation, New Zealand based Azure subscriptions have access to toll free numbers to receive calls. There is not supported to send/receive SMS or make phone calls. Further, it does not appear that New Zealand is a supported Azure billing region to provide New Zealand phone numbers.
Please note that new region support is something that is updated often but there is no ETA we have to share with you. If you wish to share your feedback request, we have a Feedback site here, where the product group reviews for next ideas.