Pfsense connecting with azure vWAn via VTI method

[abarna]

Could anyone specify the steps for setting this up in pfsense?

[stephenw10]

Directly with Azure rather then pfSense in Azure?

I've never tried dircety but I would expect to be able to connect to it using route-based IPSec like anything else:
https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-about-vpn-gateway-settings#vpntype

Nothing special should be required in pfSense:
https://docs.netgate.com/pfsense/en/latest/vpn/ipsec/routed-vti.html#ipsec-configuration