Yes, that is correct. Both BGP peers are on different /30 subnets, but they are delivered over the same VLAN ID by Azure ExpressRoute.
And yes, this is a Check Point cluster (ClusterXL in HA mode). The challenge is that Azure provides two separate /30 peerings on a single VLAN, while Check Point does not seem to support configuring multiple IP networks on the same VLAN interface in a cluster.
Can you please confirm if there is any supported method on Check Point to handle this scenario, or if the only option is to implement VLAN mapping/translation on the intermediate switch to separate each /30 into different VLANs before reaching the firewalls?