I found the answer if anyone is also trying to work this one out. Just make sure you untick the checkbox that says "Allow management operating system to share this network adapter" when creating the virtual switch in Hyper-V.
- Create the host machine in Azure, eg win10 / server2016 etc and install Hyper-V
- Create a second nic in portal and assign it to the host machine
- Create virtual switch in Hyper-v and assign it to the second nic and untick the above mentioned.
- Enable mac address spoofing in Hyper-v for the vm
Now you should be able to get bridged networking on the nested vm's