Hi
we have a similar problem as in this forum thread sample-nrf9160-azure-iot-hub.
Environment:
PCA10090 0.8.3 eval boared with modem FW 1.1.0 (latest version does not work)
nRF Connect SDK v2.1.1
What we did so far:
We created an IoT Hub with a device (X.509 CA Signed) on our Azure portal as described here and here.
So now we have a device name and the IoT Hub host name that we need for the demo.
Than we have downloaded the Baltimore CyberTrust Root Certificate
and generated all the necessary Certificates and keys as described here.
So now we have the following files:
We loded the RootCA.pem into our AZURE IoT Hub. It now has the status "verified".

After that we flashed the board with the at_client demo and loaded the certificates and key to the modem as described here, using the LTE Link Monitor.
Set modem to "offline" (AT+CFUN=4)
copy BaltimoreCyberTrustRoot.crt.pem into "CA certificate";
copy "devicename"-public.pem into "Client certificate";
copy "devicename"-private.pem into "Private key";
As "Security tag, we used 10, like the defaul in the Kconfig
With these settings, we update the certificates.

The problem:
We load the azure_iot_hub project in VS code as active application and we set the Kconfig to
- use AZURE_IOT_HUB
- port is 8883
- TLS sec Tag is 10
- Azure IoT Hub hostname to our Azur IoT Hub hostname
- Device ID to our device ID
- no DPS
We added
CONFIG_LOG=y
CONFIG_AZURE_IOT_HUB_LOG_LEVEL_DBG=y
to our prjconf.
Building the project (for nrf9160dk_nrf9160_ns) 
and debugging works fine. 
The log output in TeraTerm shows that the modem successfully establishes a connection to our Cell provider.
But then the AZURE MQTT Broker connection fails with error code -111
Here is a part of the log:
connected to LTE network Azure IoT Hub library initialized AZURE_IOT_HUB_EVT_CONNECTING azure_iot_hub_connect failed: -111 [00:01:00.750,610] <dbg> azure_iot_hub: iot_hub_state_set: State transition: STATE_UNINIT --> STATE_DISCONNECTED [00:01:00.753,692] <dbg> azure_iot_hub: iot_hub_state_set: State transition: STATE_DISCONNECTED --> STATE_CONNECTING [00:01:00.756,317] <dbg> azure_iot_hub_mqtt: mqtt_state_set: State transition: MQTT_STATE_UNINIT --> MQTT_STATE_DISCONNECTED [00:01:00.756,408] <dbg> azure_iot_hub: azure_iot_hub_connect: User name: XXXXXXXXXXX.azure-devices.net/DeviceXXXXXXXXX/?api-version=2020-09-30&DeviceClientType=azsdk-c%2F1.4.0-beta.2 [00:01:00.756,408] <dbg> azure_iot_hub: azure_iot_hub_connect: User name buffer size is 128, actual user name size is: 104 [00:01:00.756,469] <dbg> azure_iot_hub_mqtt: broker_init: Resolving IP address for XXXXXXXXXX.azure-devices.net [00:01:00.835,113] <dbg> azure_iot_hub_mqtt: broker_init: IPv4 Address found XXX.XXX.XXX.XXX [00:01:00.835,144] <dbg> azure_iot_hub_mqtt: mqtt_state_set: State transition: MQTT_STATE_DISCONNECTED --> MQTT_STATE_CONNECTING [00:01:00.935,913] <err> azure_iot_hub_mqtt: mqtt_connect, error: -111 [00:01:00.935,943] <dbg> azure_iot_hub_mqtt: mqtt_state_set: State transition: MQTT_STATE_CONNECTING --> MQTT_STATE_DISCONNECTED [00:01:00.935,943] <err> azure_iot_hub: mqtt_helper_connect failed, error: -111 [00:01:00.936,004] <dbg> azure_iot_hub: iot_hub_state_set: State transition: STATE_CONNECTING --> STATE_DISCONNECTED +CSCON: 0 RRC mode: Idle +CEREG: 1,"0978","01007102",7,,,"11100000","11100000" LTE cell changed: Cell ID: 16806146, Tracking area: 2424
Any suggestions what we are doing wrong?