Unfortunately Azure Load Balancer can only specify one inbound port per load balancing rule. Each Standard Load Balancer can have up to 1,500 rules but each NIC can only have 300 rules.
Does your application need to both send and receive across 3000 UDP ports? If your VMs only need outbound UDP across 3000 ports, then this should not be an issue with default outbound connectivity.
If you do need inbound load balancing across 3000 UDP ports, then Azure Load Balancer might not be the best load balancing solution for you.