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Having migrated a whole infrastructure to the new native provider, on the first `pulumi up` it sees fit to delete and recreate every resource (even though for most, the only change is to the new provider).
What are my options for avoiding that? Can I somehow import these resources into the same stack where they already live?

An existing stack based on the classic Azure provider, all the resources already exist bot in Azure and in the stack state.

Now I migrated the code to use the native provider.

Yes, this is a manual migration, please take a look at <https://www.pulumi.com/docs/intro/cloud-providers/azure/from-classic/>