Allow login authentication on our web-site using Microsoft Azure MFA

We have a company web-site developed in ASP.NET MVC that currently allows our customers to login using login name and password. These customers are in our SQL Server database. The customers once logged in can use our services.

We would like to authenticate our customers using Azure Multi-Factor Authentication feature. How can we implement Microsoft Azure Multi-Factor authentication in our use-case ? Is it required that our website should be deployed on Azure App service.

Thanks, Gagan