Based on this old thread :
- Confirm that you are using a valid phone number and not a VoiP.
- Check that your phone can receive calls or SMS messages from a United States-based telephone number.
- Ensure that you have included the country code.
- If your phone doesn't receive text messages (SMS), try the Call me option.
Can you please provide details about your region? If you reach out to at AzCommunity@microsoft.com and include your subscription ID and this thread link.