You can create a Dynamic Connection between a My Location endpoint and Microsoft Azure. To create the connection, you'll need an ExpressRoute service key from Microsoft. Be sure to have that information handy to type in (or copy/paste).
Microsoft Azure requires two EVCs to make the connection (which Control Center will create when you build the connection). You'll only be billed for one; the other is for redundancy.
You must configure the appropriate Layer 2 VLAN tagging on CPE using the Q-in-Q tagging configuration. It is important to note that the CenturyLink EtherType specification of double-tagged frames is for both inner and outer tags to be 0x8100.