Data disk:
A data disk is a managed disk that's attached to a virtual machine to store application data, or other data you need to keep. Data disks are registered as SCSI drives and are labeled with a letter that you choose. Each data disk has a maximum capacity of 32,767 gibibytes (GiB). The size of the virtual machine determines how many data disks you can attach to it and the type of storage you can use to host the disks.
OS disk:
Every virtual machine has one attached operating system disk. That OS disk has a pre-installed OS, which was selected when the VM was created. This disk contains the boot volume.
This disk has a maximum capacity of 4,095 GiB, however, many operating systems are partitioned with master boot record (MBR) by default. MBR limits the usable size to 2 TiB. If you need more than 2 TiB, create and attach data disks and use them for data storage. If you need to store data on the OS disk and require the additional space, convert it to GUID Partition Table (GPT). To learn about the differences between MBR and GPT on Windows deployments, see Windows and GPT FAQ.
To know more in details about disk types in azure go to below articles:
https://docs.microsoft.com/en-us/azure/virtual-machines/managed-disks-overview
How to attach a Data disk in VM:
https://docs.microsoft.com/en-us/azure/virtual-machines/linux/attach-disk-portal
