You were very close. These methods need to return an IActionResult (or Task<IActionResult> for async methods) and then you need to return the redirect.
public IActionResult OnGet()
{
string url = "/.auth/login/aad?post_login_redirect_url="
+ Request.Query["redirect_url"];
return Redirect(url);
}
Razor pages documentation
However, you have a huge Open Redirect Attack because you aren’t validating the redirect_url variable. Don’t use this code in production.