You can now protect the Azure Admin Portal with Duo using our new integration with Azure!
We do have a warning in our documentation about creating a fail-safe administrator account in the event that you lock yourself out of Azure though:
We don’t recommend assigning the Duo policy to all users (including tenant administrators) or to all cloud apps at first to avoid the risk of inadvertently blocking administrator access to the Azure Active Directory portal. Verify that your Duo policy and custom control work properly first before assigning the policy to your tenant administrators. You may want to create a fail-safe Azure tenant administrator account that is excluded from Duo MFA policies. Apply a secure password and a different access condition, like one based on a trusted network, to secure this admin account.
More information in the docs: https://duo.com/docs/azure-ca