@Anonymous - Sharing this information from comments to here for broader community usage.
Currently to review the available action items with in Azure Monitor Action Group, please refer here. However there is Azure Monitor IcM Connector which enables Azure Monitor alert users to create incidents in IcM corresponding to each alert that is triggered. Please review the connector documentation.
Also to add, this script which can help your scenario.
Hope this information helps. Please feel free to revert back if you have further queries. Thank you.