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