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Cloud Shell is being deployed to Azure Government with plans for availability in the CY19Q2 time frame.
Initially, Cloud Shell in Azure Government will only support bash with support for PowerShell coming shortly after.
Thank you for all the votes and feedback. We have started work on this and the capability will be supported soon. If you would like to get in touch with us to discuss your scenarios, please fill this form: https://aka.ms/ApplicationGatewayCohort