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Hi Damien,
It looks like you can run Splunk on an Azure VM (you can just run the VM and install Splunk on it after):
How to Install Splunk in an Azure VM: Complete guide for configuration of SIEM tool in Ubuntu 20.04
https://www.youtube.com/watch?v=EWq7N6kCwt0
Quickstart: Create a Linux virtual machine in the Azure portal
https://learn.microsoft.com/en-us/azure/virtual-machines/linux/quick-create-portal?tabs=ubuntu
If this is helpful please accept answer.