Kiril Thanks for posting your question in Microsoft Q&A. Based on my understanding, you are looking to create a custom webhook URL hosted in Azure and the events to this URL will be sent from third-party CRM app.
For this, you can either use Azure Functions or Logic Apps and both supports Http Trigger. Please see similar discussion related to this question and sharing the solution below:
You can use Azure Functions Http Trigger which can act as a webhook service for CRM and there are a couple of examples such as SharePoint webhook as well as GitHub webhook (Full training sample). This will be a good starting point and use it as a reference/template and modify the code for your scenario.
Similarly, Azure Logic Apps can be used to create a webhook that is triggered by an HTTP request from CRM. For this scenario, use HTTP webhook built-in connector and here is the doc: Create and run automated event-based workflows by using HTTP webhooks in Azure Logic Apps for reference which includes step by step guide.
Let me know if you have any questions. Would be happy to answer.