Hi,
In the portal, from the Deallocated VM, you could take a snapshot of the disk, next navigate to the snapshot -- Snapshot export -- generate URL, then use the url in your browser to download the VHD file. Once you've finished downloading you can delete the snapshot. If the Shared Access Signature (SAS) you created for the export is still valid you will need to cancel export on Snapshot Export before it will let you delete the snapshot.
NOTE: the above is mainly about getting copy of VHD file downloaded. If your goal is more along the lines of getting a working VM in your local environment, then you will want to perhaps create a temporary VM from the snapshot, generalize it using sysprep, take temporary snapshot of it in generalized state, download temporary snapshot, delete temp VM/snapshot, make sure you have license/use rights to run VM locally, etc. You should test the complete process to make sure it works and you have the steps documented, then automate if desired.
-TP