@Eric ,
You could upload your XML files to blob storage, as outlined in this doc -Index data from Azure Blob Storage and then import your data, create the index and define which fields you would like to retrieve, also create the indexer through 'Import data wizard for Azure Cognitive Search'
In case you would like to make some transformations to get specific values that are not part of the xml generated schema, you could use skillsets, as outlined here - Create a skillset in Azure Cognitive Search