Hi @PUCK, LINA
do you need to do this if you are working on a RDP session on that server or do you need this also for unattended automation procedures?
If it is just need during RDP session you can configure the RDP session to forward your local USB port via RDP to the Azure VM.
If this does not work for you, please read this old post which might point you into some direction
https://learn.microsoft.com/en-us/answers/questions/614441/azure-vm-cannot-recognize-my-local-usb-device.html