If you can live with a use-case where sometimes the numbers you get from this central location are not always sequential (but guaranteed to be unique) I would suggest considering the following pattern. I've helped an large e-commerce client implement this since they needed unique int PK's to synchronize back to premise:
Create a queue and create a small always-running process that populates this queue with sequential integers (this process should remember which number it generated last and keep replenishing the pool with more numbers once the queue gets close to be empty)
Now, you can have your code first poll the next number from the queue, delete it from the queue and then attempt to save it into the SQL Azure database. In case of failure, all you'll have is a "hole" in your sequential numbers. In scenarios with frequent inserts, you may be saving things out of order to the database (two processes poll from queue, one polls first but saves last, the PK's saved to the database are not sequential anymore)
The biggest downside is that you now have to maintain/monitor a process that replenishes the pool of PK's.