Implementing Firewall for function apps with inbound HTTPS traffic

I would suggest using Azure Frontdoor and WAF policy, it's a globally resilient resource compared with regional Application Gateway, also less expensive or at least not so high static monthly costs. Don't forget to add IP restrictions with FDID header value on App Service, then you would achieve Nirvana of Security. 🙂 Azure Firewall is more suitable for outbound scanning, however, the new premium preview SKU supports scenarios with Layer 7 and inbound.