The corresponding user has not been added to the Azure AD SSO group. Kindly note that only when he is added to the group, the user will be able to login successfully.
Kindly follow the steps below to resolve the issue:
a. Navigate to the Azure portal and open the Applications view
b. Then, navigate to the Directory view and select Enterprise Applications and All Applications.

c. In the applications list, select Zoho > Click Users and Groups in the left-side menu > Click Add user d. Select Users and groups from the Add Assignment page, choose users from the list and click Assign after selecting the users
3. When I enter my email ID on the login page, I am redirected to the Microsoft login page and can sign in successfully. However, when I click the Microsoft icon on the Zoho accounts login page, it returns an “OIDC Invalid Request” error or "Identity Provider Not Allowed – Signing in with AZURE is not allowed. For more details, contact your administrator" and does not allow me to log in.
Since you are redirected to the Microsoft login page after entering your email address, SAML authentication is currently configured. However, the URL configured for SAML is not a custom URL, which is why the redirection does not occur directly when using the URL.
To resolve this, configure a custom URL and update the same in your SAML configuration by following the recommended setup steps. Kindly refer, https://help.sdpondemand.com/customized-domains
If you would like to support multiple login methods—such as logging in using icon like Microsoft sign-in, other social sign-in options, or Zoho username/password—while still retaining SAML authentication for your Organization, you can configure a Routing Policy in Zoho Directory. This allows you to bypass SAML selectively and enable alternative authentication methods for specific or all users.