I have had a couple of people ask about NWSGI on Windows Azure. Architecturally (as far as NWSGI is concerned), Azure is just IIS7 running in medium trust. You have to use xcopy deployment, which makes me glad I went to the effort of supporting it.
NWSGI 0.6 actually supports medium trust. I only discovered after the release that the error I was hitting was a bug in Cassini; it works fine in medium trust on IIS7. With that hurdle out of the way, there's no reason NWSGI shouldn't work on Azure.
And, what do you know, it works just fine: NWSGI "Hello, World" for Windows Azure. You'll need the Azure SDK and the Visual Studio tools to run it.
The big downside is that every NWSGI app would have to include its entire framework and the Python standard library (or whatever subset that it uses).