Thanks to both of you for very good responses.
My main difficulty with Azure is the sheer size of it. Now that I have started to read the (very good) documentation on Azure Functions I can see that it definitely looks good. I will create this solution as a next step, instead of Azure VM. That means that I need to learn a bit of "pure" Python, but that shouldn't be a problem. It's just one thing I postponed as long as I didn't need it.
Some background: I developed code for Unix a long time ago, before Linux had been invented, but the last part of my work in computing was in Windows, so I know it better and I like both Windows and Visual Studio (and I have forgotten most of what I knew about Unix). After retiring and starting on some research, I worked with a team that developed a big piece of software for academic use, and it was written in ANSI C, C++ and MATLAB by people who all use Mac OS and Linux. Then they decided to replace MATLAB by Python, so I needed to learn Python (after learning MATLAB). Now, I use Python to work on a project in pure mathematics, and I work alone except for getting advice from a mathematics professor. Here, I use my computer to do symbolic math and numerical calculations. I am very happy with what Python is doing for me.
Learning Linux is something else I have postponed, and I don't need it for this project. I can submit "pure" Python to Azure Functions, where it will run on Linux, but I can still develop on Windows. While I was working with the team I mentioned, I installed WSL. As far as I could tell, WSL is not very useful until you install Linux on top of it. I installed Ubuntu, which has a GUI, but I never really needed it, so I am not using it now.
Before retiring, I often met system administrators who had a dual boot so they could test things in either Windows or Linux. For them, dual boot was a good solution, but WSL is much better for developers. It runs on Hyper-V and integrates Linux with Windows. For example, if you install Ubuntu, the Ubuntu system and Windows run simultaneously and have seamless access to the same disk and file system.