In all seriousness though, I don't think this is surprising. Visual Studio on macOS is more surprising to me. Azure runs on Linux and that's a really, really big business for Microsoft. And they've also built a Linux Subsystem into Windows.
Rock on Microsoft, rock on.
Ubuntu userland, with no Linux kernel. It could be more appropriately named GNU/Windows, amusingly enough.
It's just that Ubuntu itself runs on Linux, so they can run Ubuntu on this subsystem. Nothing technical stopping other userspaces to be run on it.
So it is quite appropriately named "Windows Subsystem for Linux". What you are talking about may be called "Ubuntu on Windows", "Ubuntu on Windows Subsystem for Linux", or "Ubuntu on WSL". (pardon the long names, not my choice. Bad/long naming is an old Microsoft trope.)
Are you sure? I thought I'd read Azure runs on Windows's HyperV.
Or perhaps you meant "Azure runs Linux".