It is supported, yes:
https://learn.microsoft.com/en-us/troubleshoot/azure/virtual-machines/server-software-support#microsoft-exchange
However there a lot of considerations:
https://learn.microsoft.com/en-us/exchange/plan-and-deploy/deploy-new-installations/create-azure-test-environments?view=exchserver-2019
https://learn.microsoft.com/en-us/exchange/high-availability/manage-ha/azure-vms-as-dag-witness-servers?view=exchserver-2019
Note that you would need your AD forest domain controllers in Azure as well.
Personally, I would never do this. I dont see the value stretching the DAG to Azure. Not only do you have to account for all the networking, you also have to change DNS and transport routing.