Hi,
Sure, many of the Azure VM instance types have CPUs that support AVX2. What you can do is look up the CPU of the instance type you are interested in and then verify on the manufacturer website if that specific model supports AVX2. Below is the VM pricing page that includes brief mention of the CPU included with each instance type:
Windows Virtual Machines Pricing
https://azure.microsoft.com/en-us/pricing/details/virtual-machines/windows/
Right away you can see the Intel CPUs that mention AVX-512 support AVX2. For the AMD CPUs, I believe most if not all do, however, you will have to verify with AMD to be certain.
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Thanks.
-TP