Azure came to Middle English (denoting a blue dye): from Old French asur, azur.  The French could have come up with this word from two sources, first from medieval Latin azzurum, azolum.  The French might have also gotten it from a mistranslation from Arabic al ‘the’ + lāzaward (from Persianwore lāžward ‘lapis lazuli’).  Lapis Lazuli is the dazzling deep blue stone that's very common in Afghanistan. The Arabic word actually refers to an area of Turkestan where Marco Polo collected lapis lazuli for friends back home. 

The word "azure" first appeared in English as a color name in the 14th century, adopted from Anglo-French and Middle English, with the earliest recorded use being in 1374 in Geoffrey Chaucer's "Troilus and Criseyde". 

Examples of azure being used in a sentence: 
"The once azure skies of Athens have been ruined by atmospheric pollution. 
"A gauzy azure scarf was twisted in her hair and seemed to catch everyone's attention." 
"The azure skies began turning hazy, possibly indicating a storm was approaching."  
"The white beaches were surrounded by azure seas."
"A flash of azure drew my eye to a kingfisher as it landed nearby." 

Just the facts:

AZURE Definition & Meaning - Merriam-Webster