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Any ideas on the best approach to add firewall rules to Windows firewall on an azure vm?

You could try using Powershell Desired State Configuration in combination with the DSC VM Extension!
Powershell DSC extension doc: <https://learn.microsoft.com/en-us/azure/virtual-machines/extensions/dsc-overview>
Pulumi Azure Native VM Extension listing: <https://www.pulumi.com/registry/packages/azure-native/api-docs/compute/virtualmachineextension/>

I will take a look at this. Thank you <@U03JNU76GAJ>