If you are running inside an Azure App Service and you need to send a client certificate with you message, you'll need to follow these steps.
1. To configure the location on the key vault in the config "KeyVault:VaultUri". Set it with the URL of your Azure Vault
2. Another app setting, set "WEBSITE_LOAD_USER_PROFILE" with the value of "1". Without this you will get the error "The system cannot find the file specified"
3. Add a certificate with a private key in the Azure vault. You can generate one in the azure vault.
4. Under the App Service settings/Identity/System Assigned, turn status to ON. Copy Object ID
5. In the Vault / Access Policies, Add Access Policy.
6. Add Secret Permissions (Get)
7. Add Certificate Permissions (Get, List)
8. Set the Principle to the App Service using the object ID you got at step 4.
8.1 Click "Add", and then also click "Save". "Add" doesn't save even though the window closes, and this caused me much frustration.
9. In the workflow, configure the http sender to use the vaults name of the certificate as the thumbprint.
10. This was a very helpfull page that enabled me to work all this out