Thank you for posting your query on Microsoft Q&A, from above description I could understand that you are looking for confirmation on supportability of AWS generated HSM keys on Azure Key Vault.
Please do correct me for any discrepancies by responding in the comments.
Currently Importing HSM-protected keys to Key Vault (BYOK) in limited to supported HSMs and AWS generated HSM is not part of it as of now. However, if you feel there is a business need for AWS generated HSM to be added then I would recommend sharing this idea on our feedback portal for visibility of engineering team.
Also for upcoming and new released features in Key Vault kindly keep yourself posted on:
Azure Updates and What's new for Azure Key Vault
Thanks,
Akshay Kaushik
Please "Accept the answer (Yes)" and "share your feedback ". This will help us and others in the community as well.