If you are trying to install the HyperV Role on a Windows Server VM in Azure and get this error:

It is likely that you are running on an Azure VM that does not support “Nested Virtualization”.

To add the HyperV Role on a Windows Server VM in you need “Nested Virtualization”.

Dv3 and Ev3 VM sizes support “Nested Virtualization”.

For more info see

https://azure.microsoft.com/en-us/blog/nested-virtualization-in-azure/

https://azure.microsoft.com/en-us/blog/introducing-the-new-dv3-and-ev3-vm-sizes/

https://learn.microsoft.com/en-us/azure/virtual-machines/dcv3-series