Presuming you are deploying SQL on premise and using pure Azure AD => since GP uses SQL Authentication out of the box, I would not think it would be an issue. If you're using something like the 3rd party Fast-Path AD authentication, you may want to ask them directly. Some SSRS interoperability with GP may need testing though.
If you're looking for more of a full azure environment, I have successfully deployed GP on an Azure virtual server for disaster recovery / business continuity purposes. It was a while back, but everything operated pretty much like an on premise terminal server deployment. Tuning the server features/licensing to optimize the costs was a big challenge as it got quite expensive. You would probably want to bring your own SQL license from GP, as I recall the virtual server SQL license was quite pricey. It was a while ago, so there may be better and less expensive options now.
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