One way to do this would be to use instance metadata. Right now instance metadata only shows information about the VM it's running on, e.g.
curl -H Metadata:true "http://169.254.169.254/metadata/instance/compute?api-version=2017-03-01"
{"compute":
{"location":"westcentralus","name":"imdsvmss_0","offer":"UbuntuServer","osType":"Linux","platformFaultDomain":"0","platformUpdateDomain":"0",
"publisher":"Canonical","sku":"16.04-LTS","version":"16.04.201703300","vmId":"e850e4fa-0fcf-423b-9aed-6095228c0bfc","vmSize":"Standard_D1_V2"},
"network":{"interface":[{"ipv4":{"ipaddress":[{"ipaddress":"10.0.0.4","publicip":"52.161.25.104"}],"subnet":[{"address":"10.0.0.0","dnsservers":[],"prefix":"24"}]},
"ipv6":{"ipaddress":[]},"mac":"000D3AF8BECE"}]}}
You could do something like have each VM send the info to a listener on VM#0, or to an external service, or you could combine this with Azure Files, and have each VM output to a common share. There's an Azure template proof of concept here which outputs information from each VM to an Azure File share.. https://github.com/Azure/azure-quickstart-templates/tree/master/201-vmss-azure-files-linux - every VM has a mountpoint which contains info written by every VM.