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Sure, you can run any CLI really as part of your pulumi script, but for your use case I wonder if there's a better way.
What exactly do you want to do?
Also, there's <#CRVK66N5U|> :slightly_smiling_face:

We are trying to assign global policy to resource group as we couldn't get Pulumi to work.

Here is one sample
az policy assignment create --name tag-region --scope /subscriptions/&lt;subscription&gt;/resourceGroups/&lt;resource group&gt; --policy "&lt;policy id&gt;" --params "{'tagName':{'value': 'region'}}" --location northeurope --assign-identity

In Pulumi we can get the policy and create the assign to the policy but it's failing due to an error in parsing policy definition id. <#CRVK66N5U|>

Here is an example shared by colleague of mine <https://pulumi-community.slack.com/archives/CRVK66N5U/p1588595288222400>