Custom 404

When you run Jekyll on Azure PaaS, you will notice that the 404.html error page supplied by the Jekyll generator will not be hit.

Azure Static Web Apps

To enable custom 404 on Azure Static Web Apps, you can add a staticwebapp.config.json to your site:

{
  "responseOverrides": {
    "404": {
      "rewrite": "/404.html"
    }
  }
}

This will show your 404.html page on a not found.

Ref.: Configure Azure Static Web Apps

App Service (Windows)

To enable custom 404 on Azure Web Apps, you can add a Web.config (yes the old ASP.NET one) to your site:

<?xml version="1.0" encoding="UTF-8"?>
<configuration>
    <system.webServer>
        <httpErrors errorMode="Custom" defaultResponseMode="ExecuteURL">
            <remove statusCode="404" subStatusCode="-1" />
            <error statusCode="404" path="/404.html" responseMode="ExecuteURL" />
        </httpErrors>
    </system.webServer>
</configuration>

This will show your 404.html page on a not found.