Hi @NndnG
Yes, we can deploy Exchange server in Azure, make sure the AD-DC and member servers in the same network. And meet the requirements list in Exchange Server virtualization
It is suggested to refer to the official document which gives a detailed introduction about Exchange dev/test environments in Azure
In addition, here is the video series about Exchange 2019: Building an Exchange lab in Azure
For more information about the connectivity between Azure and on-premise, contacting the azure froum will be a good idea, or we can add the Azure related tag in the original post above. They will give you more professional suggestions about this part.
At last, you could also consider buying O365 subscription for your organization like this thread discussed: Exchange Server on Azure VM
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