Sure, you should be using Azure, but since Azure doesn’t offiically support connecting to it with the TMG firewall, your best option is going to be EC2. Hey Microsoft, it’s not our fault that you don’t support your own products!
In this article Richard Hicks’ show you how to connect your TMG firewall to Amazon EC2 – you’re going to like it!
http://www.isaserver.org/articles-tutorials/configuration-general/Enable-Cross-Premises-Connectivity-Amazon-EC2-Forefront-Threat-Management-Gateway-TMG-2010.html
HTH,
Deb