I have data from arduino, temperature and humidity, for instance. This data I am reciving though USB wire into PC and showing them in serial monitor (visual studio code). My idea is to take this data and send them in real time to Azure.
One solution is to use another terminal program (such a PuTTY or RealTerm) in place of the Serial Monitor. Those programs can save the received data to a text file and then your Azure program could read the text file.
I don't use Windows so I have no idea what Azure does but maybe you can program it to receive the data directly from the Arduino.