Hello Rui Moura
Welcome to Microsoft Q&A Platform, thanks for posting your query here.
To allow the cluster to start it will need active directory, once the cluster has started and is online then it will then be possible to have domain services running on VM's hosted in Azure Stack HCI.
Usually most of the customers either having another site which has domain services running which can be used for the cluster to start but then once the cluster is started and the domain services VM's are running on the cluster then they handle local AD requests. That other site could be another domain services running in another cluster, or even in Azure if there is connectivity in place.
Hope this helps.