While the systems are rather different, the communication between the two doesn't vary much. So you essentially just need to setup a VPN on both devices and connect to them.
While I don't have the option of testing on Azure, I did test on my Windows 10 Desktop. While I admit they likely vary, hopefully my advise will get you pointed in the right direction!
I used this guide but made some adaptations. I treated
droplet 2 as my desktop. So I ignored any activity that was on the guide for that. I followed the
droplet 1 steps though. I just copied things over to my windows desktop.
Then I used this for setting things up on Windows. I skipped to the
Copying the Server and Client Files to Their Appropriate Directories part as I didn't want to treat my Desktop as the server. If you wanted to, you may wish to do things in reverse then! Ignore steps for droplet 1 and use the Windows guide on setting up the server. Then copy things over to your droplet using droplet 2 of our guide to help get things setup.
With this I was able to get things to communicate, and I hope this is what you were looking for. Sorry for the roundabout information, as it's a bit of cherry-picking guides due to the different OS's involved.
OpenVPN is a great tool to ensure traffic is not eavesdropped. You can use this to ensure a secure connection from your laptop to your DigitalOcean VPS (droplet) as well as between cloud servers. This article is to help get you started on your way to setting up a Virtual Private Network.