Hi Apurva,
You need to use the FQDN instead (so it knows suffix to use), similar to below:
ping azulvnet002.yourdomain.com
If you want you could add your domain name to the search directive in the VM's /etc/resolv.conf file. For example, something similar to below:
search vt20vdk0ae4udlttckjrbsgtjb.zx.internal.cloudapp.net yourdomain.com
With the name added on to the end of the search directive you could then enter ping azulvnet02
if you wanted and it would work since it would know to try to resolve using azulvnet02.yourdomain.com.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP