Hi Reginald Baker,
I understand you would like to use nested virtualization on an Azure VM. That said, after conducting some research, I have found a great article from the Microsoft Tech Community Blog site (Azure AI Foundry Blog) that offers step-by-step guidance on the best ways to attempt this.
You can find the blog here, at Microsoft Community Blog
I hope this helps you on your journey. Please let us know if this information was helpful by accepting it as an "Answer". This helps the community find quality answers to common issues.
Best regards,
Andrew Taylor