Steps for getting SSL certificate in pfx format (suitable for Azure for example)
openssl req -new -nodes -keyout mycert.key -out mycert.csr -newkey rsa:2048
Upload CSR, get the Certificate and save it local file. Get the intermediate certificates (if needed).
Concatenate the intermedia certs to one file:
cat AddTrustExternalCARoot.crt COMODORSA* > intermediates.crt
Export:
openssl pkcs12 -chain -export -out mycert.pfx -inkey mycert.key -in mycert.crt -CAfile intermediates.crt