If it's Azure SQL Database, no, setting up VMs is a bad choice. You want to take advantage of Geo-Replication. That's designed for exactly what you're looking for. If you just built regular databases within a VM, but the VMs are hosted on Azure, that's different. In that case, you'd probably want to look at Availability Groups. You can set up an asynchronous group across data centers. I would suggest researching that though. I think there's a relatively high cost for VMs across data centers (not sure about that though, hence the research).