Hi,
Did you follow the instructions in below article to install/configure xrdp, create inbound rule in your NSG, etc.?
Install and configure xrdp to use Remote Desktop with Ubuntu
https://learn.microsoft.com/en-us/azure/virtual-machines/linux/use-remote-desktop
If not please perform all the steps in the article and test to see if you connect using RDP.
If the above was helpful please click Accept Answer. If you still need assistance please add a comment below.
Thanks.
-TP