Yes, Citrix XenDesktop 7 can be deployed on Windows Azure, with support for features such as live session roaming, multiple device types and formats, and rich user-interface media experiences.
For the announcement refer to Citrix Enables High-Performance App and Desktop Delivery from Windows Azure.
For an explanation refer to Hosting Citrix Desktops from Windows Azure.
This ability is supported by Microsoft's RDS (Remote Desktop Services) Subscriber Access Licensing (SAL) available for Azure. For more information about licensing refer to this blog article: Remote Desktop Services are now allowed on Windows Azure and also to the latest Microsoft Product Use Rights docs.