Hello sadanand rajpurohit,
Thanks for your question
.exe files are designed for Windows environments, and Azure web apps run on Linux or Windows containers. So directly running is not feasible locally.
I will recommend using a Windows Virtual Machine to run this as a workaround.
You create the VM using: https://learn.microsoft.com/en-us/azure/virtual-machines/windows/quick-create-portal
To run the VM on MacOS using RDP, use: https://apps.apple.com/us/app/microsoft-remote-desktop/id1295203466?mt=12
You can mark it 'Accept Answer' and 'Upvote' if this helped you
Regards,
Abiola