don't do this at home!. This runs kernel 5.0.0 on Azure VM. The version itself is not certified yet to run on Azure.
Create VM on Azure follow https://docs.microsoft.com/en-us/azure/virtual-machines/linux/quick-create-cli
ssh to your new machine
apt install -y build-essential flex bison libssl-dev libelf-dev
wget https://cdn.kernel.org/pub/linux/kernel/v5.x/linux-5.0.tar.xz
xz -v -d linux-5.0.tar.xz
tar xvf linux-5.0.tar
No signture verification, You should be checking it.
cd linux-5.0
cp -v /boot/config-$(uname -r) .config
# prep using existing kernel config
make olddefconfig
make prepare
make #-j $(nproc) if you decided to go with multicore VM
make modules_install
sudo make install
update-initramfs -ck 5.0.0
sudo update-grub
shutdown -r now
# after boot
uname -r
TIL :-) thanks!