You can create a Dynamic Connection between a My Location endpoint and Microsoft Azure Gov. 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 Gov 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.
For connections to Microsoft Azure Gov, your equipment must support 802.1ad (Q-in-Q).