@Rudi Birenbaum Azure function app supported different languages as mentioned in this document. You can write any code and import library that are supported in that particular language. Shopify does support python, node, etc libraries as documented here at Shopify end.
The azure function is just the platform and you can write/run any piece of code on the supported languages. You can create your function in any of the supported trigger and it will trigger your function app on the specific supported event type.
You can refer to the Shopify document on the connection part. For example, if you are writing the code in python then you can refer here.