Hello @祎 李,
Thank you for posting your query on Microsoft Q&A.
As the private key of a key vault is stored in the HSM and cannot be obtained. This is one of the key security features of Azure Key Vault. The HSM ensures that the private key is never exposed outside of the HSM boundary, which provides a high level of security for your keys. Therefore, you cannot use OpenSSL to access the private key of a key vault.
Please refer the below document to Generate and transfer your key to the Managed HSM.
https://learn.microsoft.com/en-us/azure/key-vault/managed-hsm/hsm-protected-keys-byok
I hope this information is helpful. Please feel free to reach out if you have any further questions.
Thanks,
Raja Pothuraju.