Hi Chris,
Are your AD environments connected at all? like trust/federation etc.
I recently setup a vCenter server where the client had two domains and we configured one identity source using AD (integrated Windows Authentication) and the other one via LDAP.
I think in your case, you can add the Azure AD identity source using "Active Directory as a LDAP Server". This configuration assumes your local environment (where vCenter is located) can connect to the Azure AD servers via network IP/Ports without going over the internet.
The LDAP config is easy :
Name : vmware.co.uk
Base DN for Users : DC=vmware,DC=co,DC=uk
Base DN for groups : DC=vmware,DC=co,DC=uk
Primary Server URL : ldap://ADserver.vmware.co.uk:389 (if you support Secure LDAP you can change the port to 636 or 3268
Test connection with a username : CN=service.vmware,OU=Service Accounts,DC=vmware,DC=co,DC=uk (pick a username in AD and view its distinguished name in AD properties to get this string. I just gave you an example)
Let me know how it goes or if you have questions.