Thank you for your detailed post!
I understand that you're looking into leveraging the Azure Key Vault to store your Keys, Secrets, and Certificates. However, your Auditing company needs the make, model, and FIPS 140-2 Level 2 NIST certificates for the hardware security modules (HSMs) that're used to secure the HSM-backed keys. For more info - Azure key management services.
From your issue, I reached out to our Key Vault engineering team and there's no change since the October 2021 question, but I did receive a response from their end which I'll share below.
Key Vault service uses a mix of Thales nShield F2 6000+ and Marvell LiquidSecurity HSM cards in the backend for HSM functionality. They are FIPS 140-2 Level 2 or greater validated. The relevant NIST certificates are here (Cryptographic Module Validation Program | CSRC (nist.gov)) and here (Cryptographic Module Validation Program | CSRC (nist.gov)).
This certificate is for the current generation of hardware/firmware. Microsoft regularly upgrades the hardware and firmware behind Azure Key Vault. It may change in future.
It's important to mention that there is no direct access to the HSMs in Azure Key Vault Premium or Azure Key Vault Managed HSM today. We do document the HSMs we're using and their FIPS certificates as above-shared, however, providing some kind of attestation from the HSM of the HSM protecting keys in AKV Premium and MHSM is something we are considering in the future but not at the moment.
I hope this helps!
If you have any other questions, please let me know. Thank you for your time and patience throughout this issue.