Unlike PowerShell, you can create an NSG by running one command at Azure CLI, shown as follows:

az network nsg rule create --resource-group PacktPub --nsg-name CLINSG --name AllowHTTP --access Allow --protocol Tcp --direction Inbound --priority 150 --source-address-prefix Internet --source-port-range "*" --destination-address-prefix "*" --destination-port-range 80