you do need an Azure premium subscription to access the Allowlisting section on Azure. The Allowlisting feature is only available in the Azure Firewall Premium SKU, which requires a premium subscription.
The standard SKU of Azure Firewall does not have the Allowlisting feature. However, if you are using an Azure Virtual Network Gateway, you can create a network security group (NSG) and add an inbound security rule to allow traffic from your NordLayer private gateway's IP address.
Once you have completed these steps, traffic from your NordLayer private gateway should be allowed through to your Azure resources.