I've been trying to see what the possible venues would be in Baku (or in Azerbaijan overall). Düsseldorf Arena sat 24,000 with all its "Eurovision touch-ups," so I'm using that as my benchmark. It appears that most of the football stadiums in Azerbaijan are open-air, so I don't know if they would consider building a detachable roof or what.
There is one venue (the Heydar Aliyev Sports and Exhibition Complex) which is indoors -- and they were scheduled to host the Eurovision Dance Contest there, postponed indefinitely! -- but it only seats 7,800 people. Maybe it would be there as it seems like a few of the venues where Eurovision was held in the 2000s (Kiev Palace of Sports, Skonto Hall) hold less people than that.
I don't know why I care so much about this.