Though Azeroth was held for some time by the Horde during the Second War, it has mostly been freed by the Alliance. It contains both the region of Stormwind and Stormwind CityToD 5 (capital of the region), as well as the several surrounding territories.
The continents of Azeroth, Khaz Modan, and Lordaeron — as part of the larger Eastern Kingdoms continent — would technically be referred to as subcontinents in real world geographical/geological terminology. But the term isn't used in any published Warcraft source.
The Stormreaver clan section in the Warcraft II: Battle.net Edition manual says: "Domain: Stormwind, Azeroth and Balor, Azeroth". This may get a bit confusing, but it tells that the Stormreaver have control over the domain of Stormwind from the continent of Azeroth and Balor of the continent of Azeroth.