You are already using an object index to "retrieve" agents right?
You should be able to use azure as a backing for that
If you really wanted to boil it down though, an agent is just
- the system prompt
- the tools it has access to
You could store that information as nodes in any vector index. And then on the fly, retireve, and construct those agents. If those agents have query engine tools, those can also be backed by azure vector store, and are basically a no-op to re-create on the fly