If your device was plugged on your local PC and communicate with your application through, for example USB, then it's impossible to use it from azure. Since you cannot connect local USB from azure VM, nor ship your device to MS and plug into the azure VM that is running your app.
But it could be possible if you really want. First of all you need to create a web service interface in front of your device so that it can be consumed through the network. Then there will be three approaches you can try to use it from azure.
- Use the Service Bus Relay to expose your web service. Then your azure application can communicate to this service from the cloud, and then communicate to your device.
- Use Windows Azure Connect. I'm not sure if it's still available but you can use it to create an IP-sec connection between your PC and azure VM. Then you can communicate to your web service by using the local IP.
- Use the new Windows Azure Virtual Network. I've never tried this feature but it should work.
So essentially, you have to open your local device by introducing a web service layer.