Some kind of witness is must when you have 3 node WSFC. You can check out all possible scenarios from this MS Document. If you are not using Shared storage you can have File share witness cloud witness is complex and has latency I would suggest on premises witness. In any case if on premises goes down you can manually bring node online in Azure.
I am also assuming you have Windows server 2012 r2 and above to take benefit of dynamic quorum and witness which basically has "last man standing feature". This mean if you nodes go down one after another the dynamic nature of witness would keep last node running by removing votes from members which went down. This would not work when you have multiple unexpected shutdown of the nodes.