we need to accept UDP traffic to a public ip address (which we have and can transfer to Azure) and then have Azure forward that traffic to a specific external ipaddress. It is a simple relay.
We've had a look at using Azure Firewall for this but it doesn't seem to allow us to do it.
If we need to we can try to write a c# app to take the traffic and forward it out but we were hoping to do this without code.
Any help would be appreciated.
If the traffic is not very high-volume, you could use Azure Functions or Azure Logic Apps to receive UDP traffic and forward it.
If the traffic is heavy and the final destination is outside Azure you'll have to go with VM as proxy/relay or NVAs you can get from Azure Marketplace. For extra resiliency stick an Azure Load Balancer in front of your VM/NVA.