The vast majority of the costs come from outgoing bandwidth from Azure to your client. Hopefully the bandwidth cost will be reduced in the future, thereby making cloud gaming much more affordable.
One of the strengths of Azure is its extensive coverage in terms of geographic areas. I do however wish there are more GPU types and instances available in more regions.
I’ve covered the low-priority VMs and cost calculator in the Github repo: https://github.com/ecalder6/azure-gaming.