When publishing Layered Images, you need a Connector Configuration that defines the location where you will publish the images, preferably near the servers you intend to provision with the images. You can create as many Connection Configurations as you need.
Citrix recommends that Layered Images are published to the environment where the App Layering appliance is installed, in this case, Azure. To do this, you need an Azure Connector Configuration to define the publishing location. If you don't yet have an Azure Connector Configuration, you can create one while in the process of publishing Layered Images.
If you decide to publish Layered Images on a hypervisor other than the one where the appliance is installed, you can publish to the appliance's file share by using the Network File Share Connector. After publishing the image, you can manually copy the file to the desired location.