Hello,
The procedure to install Kali would be the same as for another VM that is not in Azure but you could also just use the Kali Marketplace Offer directly : https://azuremarketplace.microsoft.com/en-us/marketplace/apps/kali-linux.kali?tab=Overview
Also as both Ubuntu and Kali are based on Debian you could natively install all packets from Kali directly in Ubuntu.
Regards
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