It looks like Microsoft no longer offer a firewall solution, instead recommending using a 3rd party solution.
However, I did find a comparison table showing how Azure AD Application Proxy could be an alternative to some of the TMG/UAG features:
"Azure Active Directory Application Proxy is one of two remote access solutions that Microsoft offers. The other is Web Application Proxy, the on-premises version. These two solutions replace earlier products that Microsoft offered: Microsoft Forefront Threat Management Gateway (TMG) and Unified Access Gateway (UAG). Use this article to understand how these four solutions compare to each other. For those of you still using the deprecated TMG or UAG solutions, use this article to help plan your migration to one of the Application Proxy."
Source:
https://docs.microsoft.com/en-us/azure/active-directory/manage-apps/application-proxy-migration>
