Forwarding Request to Azure Firewall From F5 LTM
You can absolutely do this by establishing a forwarding VS on your BIG-IP and setting the BIG-IP default gateway to the Azure FW. If you do not want the Azure FW to be the BIG-IP's default gateway, then add a route for the clients to reach the internet. Matching a forwarding VS tells the packet to consult the TMOS routing engine. If your BIG-IP default gateway is the Azure FW, your egress packets will always flow there.