Hello @Nicolás Andrés Espinoza Orellana ,
you can integrate your Lora devices and even gateways in Azure.
Lora devices need a gateway and a LoraWan (backend) platform to expose their messages.
If you use a third-party platform like The Things Network, check out this blog
If you want to run your own platform, check out this great video from Benjamin Cabé.
Finally, you can use the IoT Central Bridge to connect (Lora) devices to IoT Central.