For all of you who have the same problem. I had to open a ticket on Azure Portal to be helped. They contacted me through the phone and e-mail, and after a few days asking me things like: "Have you followed the instructions described in the "how to create a E5 sandbox" documentation?" and "Have you inserted your phone correctly?" They just asked me to try again with a different phone but the same problem occurred then I tried again with my phone and it magically worked. They solved my problem but when I asked what happened they said:
"We actively monitor and act against suspicious activities to protect customers and Microsoft platforms from fraud, account compromises, and other malicious activity. Our actions vary from preventing users from joining our program to disabling subscriptions. In this case, the data you provided did not pass our verification checks."
"Due to our security measures and privacy concerns we are not allowed to provide any additional information".
This was really annoying to me and I'm pretty sure it has been annoying to a plenty of people who just want to study and are facing the same problem. Hopefully Microsoft fix this out ASAP because clearly this is not just a security measure, it is a bug.