All web applications hosted on Web Apps become
idle if nobody use them.
And therefore first request "wake them up" and takes a little bit more time than the others. To keep the application always "awake" the easiest way is to use Application Insights. To read about how to create Application Insights read my blog post here.
Open Application Insights and click on Availability
Click on Add test
Provide the name for the test, Test type should be URL ping test and url for you App Service. Choose also Test frequency, I think each 15 minutes is good enough. Click on Create.
Now your web application will be always alive.