GoCD can interact with anything that has a command line interface, so deploying Azure resources into Azure using Terraform templates should be possible.
I would start with learning Terraform and how to manage a single Terraformed deployment from multiple client machines. I do not know a lot about Terraform, but I do know that this will involve, at least, choosing and implementing a remote location for storing Terraform state information. You will also need to decide how you will manage getting the Terraform secrets into the GoCD Agents.
Once you have a solid understanding of how Terraform works, I would think it should be fairly trivial to write some wrapper scripts for GoCD to leverage.
Hope this helps,