Although there's a thing as too many redirects, just one more won't probably reach the limit. You can have your own HTTPS endpoint that redirects the request again to your app-specific URL scheme.
If you don't want to host it yourself you can do something really simple as creating a webtask that just redirects the received request and parameters back to your app.
This example in the documentation shows how to control the HTTP response within a webtask:
module.exports = function (context, req, res) {
res.writeHead(200, { 'Content-Type': 'text/html '});
res.end('<h1>Hello, world!</h1>');
}
There's of course the need to review it from a security perspective in order to ensure you don't do something stupid, but that's always the case, and in theory this should be feasible.