@YannHerren welcome to the Atlassian developer community.
No. It is not possible to authenticate to the Jira Cloud REST APIs using 3rd-party identity providers. Developers are limited to Basic, OAuth, and JWT, as described in our auth guide.
Maybe you could explain why OAuth wouldn’t work for your case. It seems like the right model, where users are behind Azure AD via SAML and they only have to grant access to your web application once. How did you want Jira customers to authorize access to your web application?