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 MyLevel3 will create when you build the connection). You'll only be billed for one; the other is for redundancy.
To create a dynamic connection between a My Location endpoint and Microsoft Azure: