Azonity theme is quite big in size (10MB), so your hosting probably won't allow it to be uploaded from your WP Admin dashboard. So if that's the case, you should upload the theme from cPanel or by using FTP.
1.) Theme Installation Using cPanel (RECOMMENDED):
Most hosting provide cPanel access to their customers, usually they send the login info when you order the hosting package:
Once you are logged in to cPanel, you can upload the theme using the File Manager menu.
Follow this guide from Wordpress.org:
2.) Theme Installation Using FTP: