I know this question is answered a long time ago, but I found this as the first hit on Google. So I thought to answer it still anyway.
Unfortunately it doesn't look like it's possible to open a port range in the traditional way. The documentation states: (for the az command).
A list of ports to open. Space-separated list of ports.
default value: 
And for the yml reference
Name Type Required Value
protocol enum No The protocol associated with the port. - TCP or UDP
port integer Yes The port number.
Conclusion. It doesn't look like it's possible and you'll just have to paste in the ports manually into your yml file or az command.