Hello and thanks for your question
No this is not possible. It can only be done the other way round.
You can integrate Alibaba Cloud IDaaS via SAML if Azure is configured as a Service Provider for SSO
The possibility is Using Alibaba Cloud Service (Role-based SSO) for Single sign-on with Microsoft Entra ID: https://learn.microsoft.com/en-us/entra/identity/saas-apps/alibaba-cloud-service-role-based-sso-tutorial?source=recommendations
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Regards,
Abiola