Apologies for the delay in answering this post. As I understand you want to know whether Microsoft send SMS messages to Twilio phone numbers.
Did a quick research on this ask, unfortunately Twilio is leveraging VoIP, hence its not possible to send SMS to Twilio phone numbers.
Azure AD Multi-Factor Authentication calls are placed through the public telephone network (https://learn.microsoft.com/en-us/azure/active-directory/authentication/howto-mfa-mfasettings#phone-call-settings:~:text=Azure%20AD%20Multi%2DFactor%20Authentication%20calls%20are%20placed%20through%20the%20public%20telephone%20network).
Let me know if you have any further questions.
Please remember to "Accept Answer" if answer helped, so that others in the community facing similar issues can easily find the solution.