The item is a messenger bag that Azalea always carries with her! It's embroidered with the letter A (for her first name), a small rose, and a little heart.
The reason she always carries the bag with her is because it's special to her... The bag was a special gift given to her by her family right before she decided to leave and it's like carrying a part of her family with her wherever she goes. Not only that, but it's also very useful for carrying things along with her on her journey.