Apex domains cannot have CNAME records.
Question and response
Question
dig usgovarizona.cloudapp.usgovcloudapi.net. NS
Answer
usgovarizona.cloudapp.usgovcloudapi.net. 5 NS ns3-03.azuregov-dns.us.
usgovarizona.cloudapp.usgovcloudapi.net. 5 NS ns2-03.azuregov-dns.us.
usgovarizona.cloudapp.usgovcloudapi.net. 5 NS ns1-03.azuregov-dns.us.
usgovarizona.cloudapp.usgovcloudapi.net. 5 NS ns4-03.azuregov-dns.us.
Authority
The response has no authority records.
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0