There is martial law in Baku at the moment with a 9pm curfew. That said an international agreement has been agreed with Armenia, co-signed by Russia as peacekeepers in the troubled region. With Covid it isn't a place I would venture to now.

That said I was there for the qualifying game this time last year and Baku is a pretty relaxed place on the surface at least and an enjoyable place to visit.

Come June, all things being equal, you are probably at greater risk of something untoward happening to you in Rome generally, and at the match specifically than if you venture to Azerbaijan.