From: https://www.thomasmaurer.ch/2018/06/how-to-install-ubuntu-in-a-hyper-v-generation-2-virtual-machine/
and
https://www.thomasmaurer.ch/2019/06/how-to-create-an-ubuntu-vm-on-windows-10/
Create a new Virtual Machine in the Hyper-V Manager
On the Hyper-V Virtual Machine Generation selection screen, choose Generation 2
Attach the Ubuntu ISO Image to the virtual machine
After you have created the Virtual Machine using the wizard, go into the settings of the virtual machine. Switch to the Security section and choose the Microsoft UEFI Certificate Authority Secure Boot Template.
Now the Virtual Machine will boot from the Ubuntu ISO, and you can install Ubuntu.
On long-term support (LTS) releases use the latest virtual Hardware Enablement (HWE) kernel for up-to-date Linux Integration Services. To install the Azure-tuned kernel on 16.04, 18.04, and 20.04, run the following commands as root (or sudo):
apt-get update
apt-get install linux-azure