Subs are splashable on almost any attacker. The main problem is that Azelf heavily competetes with Alakazam, who, while not being immune to ground moves, has Magic Guard, more speed, more power, and a Focus Blast to make him not being completely vulnerable to Tyranitar. The selling points of special Azelf still is Flamethrower (which can be replaced with HP Fire) and Thunderbolt.
I personally would use Psyshock in this set (beats Volcarona) and replace Energy Ball with HP Ice, since there are many thing with ice weaknesses running around; the lack of Focus Blast is noticeable, though.
It has some nifty niches on the physical side: Azels is still the fastest Boomer, you may try something like this:
Jolly (+Spe -SAtk)
252 Atk/4 Def/252 Spe
Normal Gem or Flying Gem / Sitrus Berry
- Substitute
- Ice Punch
- Thunder Punch/Acrobatics
- Explosion
Haven't tested it jet, but sound fun on the paper. It's still Tyranitar-fodder, though.
Edit: I haven't noticed it before: Never put the 4 EVs in HP when using substitute (unless you only have 30 IV on HP). With an even number of HP you can't utilize sub optimal - you cannot generate one when only have a quarter of your maximum HP while an odd number allows you to squeeze one more sub from your lifebar.