Hello @John Patrick Papares,
Welcome to the MS Q&A forum.
Would you be able to share the tutorial what you use to set up Arduino on Azure VM?
From what I know, by default, virtual machines might not have direct access to USB ports on the host machine, as well VMs don't have direct access to the host machine's Wi-Fi hardware.
If you need to use hardware directly with VMs, some virtualization platforms offer dedicated solutions for hardware emulation or passthrough. VMware, for example, provides VMware Workstation and VMware Fusion with more advanced hardware interaction features.
Sincerely,
Olga