Hello @Anoop Kumar Edappalil Satheesan ,
welcome to this moderated Azure community forum.
The Azure cloud offers the Azure IoT Hub to have devices connected to the cloud for sending telemetry and optionally sending commands back.
Each device has its own identity available via the device registration.
This is also called the device twin and the identity can be represented via a certificate or a connection string.
The connection can be made by either using one of the device SDKs (recommended) or via MQTT using a specific fixed topic subset.
This works for PC or RPI like devices but also for constrained devices like an ESP32.
Also check out the Nanoframework if you know the C# programming language.
Notice that 'device provisioning' is done via the Device Provisioning Service. The advantage of using this service is the support for switching to another IoT Hub (eg. from a production IoT Hub to a test IoT hub in case of some failure) or moving over to an IoT Hub in another region. This way, you do not need to 'touch' your device (eg. a firmware update).
Using the Device Provisioning Service is optional but recommended in a production situation for more flexibility.
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