Just wanted to put a note out for anyone who gets caught out like I did on this one.
I was trying to create an azure VM and kept getting the below error message and Azure wouldnt even create my VM.
"The word or phrase you selected is not allowed"
I tried different combinations of all of the settings but with no luck!
It turns out that apparently there is a list of naughty words and common phishing terms which you are not allowed to use. The below forum posts talks about this but in relation to web and worker roles it also seems to apply to virtual machines.
Just be a little careful over what you call things as you might not realise that your name contains one of these phrases at first glance and there is no list publicly available to check against.