If you want to run your sandboxes in Azure VMs, the challenges you face are almost the same as they are with centrally available sandboxes on an on-premise VM. However, you can take some shortcuts: Microsoft provides standard VM images with preinstalled Docker, such as Windows Server 2019 Datacenter with Containers, so you don't have to worry about that.
If you want to use navcontainerhelper, you need to install it, and then you are ready to go. An even quicker way is to use one of the quick start templates provided by Microsoft, such as http://aka.ms/getbc. This will create an Azure VM, install Docker and navcontainerhelper, pull the latest Dynamics 365 Business Central image (defaulting to the on-premise image), and start it for you. And on top of that, you get a nice log showing you how all the magic that is happening is progressing...