Just following up on this nightmare in case anyone wants to save themselves the trouble...
Azul does not use standard ticketing systems with normal ticket numbers which causes lots of issues with retro credit.
If you fly on an AZUL ticket and need to retroactive credit to UA, it will ask for your ticket number in the UA form. You will enter 5770000000000 and then proceed with the rest of your information as normal. I'd suggest keeping your boarding passes in case they ask to see them. I was able to dig up the fare class from my original booking with my OTA.
Hope that helps