Hi, @AIRing-7416 Welcome to the Microsoft Q&A Platform, and thanks for your query.
As we understand you want to know if you can add filegroup in Azure sql.
Unfortunately, you don't have control over filegroups I mean you can't add or create new filegroups, Azure will add the file groups ..If we increase the storage space. Azure will add the file groups based on the requirement.
Please let me know if you need any additional information.
Regards
Geetha