I don't know what you mean by
azure vm of blast. If this is a regular VM otherwise, you should be able to use
conda to install latest
blast+ or download pre-compiled binaries if
conda is not an option.
The reason things don't work is because current blast databases are
v.5 and require
blast+ of recent vintage. If you must use
v4 databases (which are required for blast v.2.2.25) you can find an year old version on NCBI blast db site here. Be aware that NCBI does not update these old format db.