Azure Firewall, the Firewall as a Service (FWaaS) from Azure, has been updated to allow you use Fully Qualified Domain Name (FQDN) when setting up network rules.
To start using it, logon to your Azure portal (https://portal.azure.com) and search for Firewall
There edit your existing firewall (or create a new one) and access the Rule blade
Access the Network rule collection tab to edit or create your network rule
You will then have the option to define FQDN in your rule