@Nandan Hegde Thank you for reaching out.
Integrated authentication works when your Active directory is federated.
You should domain join the Azure VM to your domain and login to the VM with your Azure AD credentials.
If your Azure AD is not already set up for federation, please refer to the below.
Deploying Active Directory Federation Services in Azure
Azure AD Connect and federation
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Here is the documentation for configuring your VM
Step-By-Step: Setting up AD FS and Enabling Single Sign-On to Office 365
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