pfSense is a widely used open-source Firewall product. Azure provides the commercial version of pfSense, but for some open-source fans, they'd like to create their own pfSense on cloud. Here is an example of how to create your own pfSense on Azure. This example requires you have a Windows 10, Windows 2016 Server, or Windows 2012R2 server, and that Hyper-V is enabled.
Learn more about it in the Azure blog.