Hi,
You can configure Availability Zones for your VMs, availability zones are unique physical locations within an Azure region:
https://learn.microsoft.com/en-us/azure/availability-zones/az-overview
To protect an Azure VM from a regional failure, you can indeed use Azure Site Recovery:
Quickstart: Set up disaster recovery to a secondary Azure region for an Azure VM
https://learn.microsoft.com/en-us/azure/site-recovery/azure-to-azure-quickstart
For more information about high availability alternatives for your Azure VMs, you can read more here:
Availability options for virtual machines in Azure
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/availability
Best regards,
Leon