Hello @Reece Blythe ,
Normally you could install a VMware ESXi host using tools like Intel-VT but for this you would need to have access to the underlying CPU hardware. Since you do not have control over that in an Azure environment you will not be able to install a VMware ESXi host in an Azure VM.
Nest virtualization is supported on
Hyper-V(Windows 10 & Windows Server 2016) : Yes
Virtual box : Yes
VMware : No
Possibly, the azure VMware solution might help for the testing as well, in case you are completely moving your prod/test environment to azure. Reference : https://azure.microsoft.com/en-us/services/azure-vmware/
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