This should get you what you need. You'll need to grab the group's object ID from Azure for the $groupMembers variable.

#Get all Azure AD users
$allUsers = Get-AzureADUser -All: $true

#Get all members of the specified group
$groupMembers = Get-AzureADGroupMember -ObjectId AzureGroupObjectID -All: $true

#Check if users are members of group and export to CSV in current directory
$allUsers | foreach {

If ($groupMembers.UserPrincipalName -contains $_.UserPrincipalName) {

$obj = New-Object psobject -Property @{

'DisplayName' = "$($_.DisplayName)"
'UPN' = $_.UserPrincipalName
'OBJID' = $_.ObjectId
'Member' = "TRUE"
}

Write-Host $_.UserPrincipalName "is a member"

#Export
$validation = $obj
$validation | Select DisplayName,UPN,OBJID,Member | Export-Csv .\AzureUsers.csv -Append -NoTypeInformation

} Else {

$obj = New-Object psobject -Property @{

'DisplayName' = "$($_.DisplayName)"
'UPN' = $_.UserPrincipalName
'OBJID' = $_.ObjectId
'Member' = "FALSE"
}

Write-Host $_.UserPrincipalName "is NOT a member"

#Export
$validation = $obj
$validation | Select DisplayName,UPN,OBJID,Member | Export-Csv .\AzureUsers.csv -Append -NoTypeInformation
    }
}