Welcome to Microsoft QnA.
If you have an application opened and selected to be in forefront (not background) that supports the shortcut Ctrl+N, a new file will be created. (For eg - Vistual Studio Code)
If you do not have the application running on forefront, then selecting Ctrl+N will result in opening a fresh browser tab.
I am not sure what you mean by "Under Azure". Do you mean any application running on a VM on Azure or any specific Azure service where you are trying this shortcut?
My advice to you would be to check if the application you are talking about supports the shortcut Ctrl+N for creating a new file.
Please reach back to me by adding your comments here if you have any questions.
Hope this helps :)
accept as answer if the above information is helpful.