Does AppleCare+ with Theft and Loss cover Azerbaijan too?

Probably not, no. Apple's terms say that the warranty and AppleCare coverage generally apply only to the country in which the iPhone was officially sold. In some cases you may be able to get service, depending on the problem, but a replacement due to loss or theft may not be honored since a third-party insurance company actually provides the coverage and they may not provide coverage now that you live outside of the country in which the policy was issued. But if you lose or damage your iPhone, you can always apply and see what they say.

Regards.