I created a Public IP Address on Azure and assigned a DNS name like contoso.eastus2.cloudapp.azure.com.
When I use a DNS lookup with this DNS name, an A record is found to point on my Public IP address. But when I try to lookup a subdomain (like foo.contoso.eastus2.cloudapp.azure.com), no records are found.
How to configure the Public IP Address for subdomains (*.contoso.eastus2.cloudapp.azure.com) point at same IP address than the parent domain ?
Azure only provide such as location.cloudapp.azure.com (where location is the location you select) to the name you provide to create the fully qualified DNS name. You just can inject single label to that DNS suffix and can't add multiple labels.
Instead of using the DNS name label with the default suffix, you can use the Azure DNS service or your own DNS service to configure a DNS name with a custom suffix that resolves to the public IP address. For more information, see Use Azure DNS with an Azure public IP address.
