You can think of Azure Geography the same as a country. Although there are exceptions. An Azure geography is an area of the world that contains at least one Azure region. For example, India is a geography. Similarly United States and United Kingdom are geographies. In Azure, a Geography is a discreet market consisting of two or more regions that preserve data residency and compliance boundaries.
Here is Microsoft official documentation: Azure Geography
Simply put, an Azure Region is a set of Datacenters that are connected through a dedicated low-latency network.
Here is Microsoft official documentation: Azure Regions
Azure availability zones are highly available, fault tolerant, and more scalable than traditional single or multiple datacenter infrastructures. With availability zones, you can design and operate applications and databases that automatically transition between zones without interruption. With Availability Zones, Azure offers industry best 99.99% VM uptime SLA(Service Level Agreement)
Here is Microsoft official documentation: Availability Zones