The Microsoft Azure CDN (Content Delivery Network) Interactive Map shows the location of each of the Microsoft Azure CDN endpoints plotted over a map using the Bing Maps v8 JavaScript SDK.

This project is hosted as open source on Github at the following location, go there to view the source code for this project:
https://github.com/buildazure/azure-cdn-map

This project is created and maintained by Chris Pietschmann.

Disclaimer: This community project is not affiliated with Microsoft in any way.

Where is the location data for this map from?

The CDN locations on this map are from the following Azure documentation page that lists them out.
https://azure.microsoft.com/en-us/documentation/articles/cdn-pop-locations/
These locations are just the City, as Microsoft does not publish the actual address of each of these locations / data centers.

Are these the Azure Regions?

No, the Azure CDN Locations are not the Azure Regions / Data Centers. The CDN Locations are network edge points where Content Delivery Network (CDN) traffic originates from.
You can view a map of the Azure Regions here: http://map.buildazure.com