It is important to understand that when you setup an Azure service, the service and the data is served out of a various data centers in the world regions. You can see exactly where each data center resides across the world via the Microsoft published Azure Data Center Map. At the time of writing this blog, Microsoft were currently at 30 data centers across the world. An example of the map showing the Canadian data centers (Toronto and Quebec City):
Depending on the Azure service you are using, it may or may not be available in some regions. When you setup a specific service, most of the time it will ask you to select a region where you want that service to reside however, there are some global Azure services that don’t require selecting a particular region, such as Azure Active Directory, Traffic Manager, and Azure DNS.
Microsoft has also published an infographic and table which indicates the exact Azure services that are served out of each regional data center.
Now, on Azure data residency and resilience, it is important to know that your service and data is protected in the case of failures and disasters. Furthermore, there may be rules and regulations on where to maintain your data. That is why in most cases Microsoft will usually replicate your customer data to a sister data center within the same geographic region. Read more about this here in the Microsoft Trust Center.