Hello @MS Techie
Short answer is no.
You cannot use managed identity for connection between Azure Web App and SQL 2019 database on SQL Azure VM
Here is a good illustration of usecases where you can use managed identity
Here is full list of Azure services with support Azure AD authentication, these have been tested with client services that use managed identities for Azure resources.
https://learn.microsoft.com/en-us/azure/active-directory/managed-identities-azure-resources/services-support-managed-identities#azure-services-that-support-azure-ad-authentication
You can use any OpenID provider.
https://learn.microsoft.com/en-us/azure/app-service/overview-authentication-authorization#identity-providers