So below, I've posted some code that I believe does what you want. In order to get the star to always point upward, you want to save the current heading (like I do in the makeStar function) to a local variable (heading_before_star) and then reset it to 0, draw your star, and reset it the heading before.
Also, another I noticed is that your current code wasn't drawing the stars with one at 12 and 6 o'clock, they entire circle was rotated slightly. To fix this, I added a setHeading(-15) at the beginning of the program to correct for that.
import turtle
aze = turtle.Turtle()
aze.shape('turtle')
def makeStar():
heading_before_star = aze.heading()
aze.setheading(0)
for k in range(5):
aze.forward(20)
aze.right(144)
aze.setheading(heading_before_star)
aze.setheading(-15)
for i in range(12):
makeStar()
aze.left(30)
aze.penup()
aze.forward(50)
aze.pendown()
turtle.mainloop()