For Windows, when a Disk is attached to an Azure Virtual Machine and isn't allocated to a Volume, you can run a PowerShell Get-Disk to pull all attached Disks, then check the 'Partition Style' - A disk that hasn't been allocated will be 'RAW' by default .
If you want to query all of these 'RAW' Disks, you can run PowerShell: Get-Disk | Where-Object PartitionStyle –Eq 'RAW'
Alternatively, if you need a method of initializing ALL Disks that have been attached, you can run PowerShell: Get-Disk | Where-Object PartitionStyle –Eq 'RAW' | Initialize-Disk