As shown bellow Hunk with Amazon EMR looks work and supported.
http://aws.typepad.com/aws_partner_sa/2015/04/esp-for-aws-splunk-hunk.html
But can I use Hunk with Microsoft Azure HDInisght ?, Is it supportable ?
As long as the Azure is Linux, yes that will work. We have few customers who are using this option.
However, regarding the supportable question, Splunk QA did not test that option (i.e. as far as I know)