CloudService's single worker role that starts the OWIN pipeline via Microsoft.Owin.SelfHost

app.config

<?xml version="1.0" encoding="utf-8" ?>
<configuration>
  <system.serviceModel>
    <bindings>
      <basicHttpBinding>
        <binding name="BasicHttpBinding_IWCFCustomerService">
          <security mode="TransportCredentialOnly">
            <transport clientCredentialType="Ntlm"/>
          </security>
        </binding>
      </basicHttpBinding>
    </bindings>
    <client>
      <endpoint address="http://****/****/****.svc" binding="basicHttpBinding" bindingConfiguration="BasicHttpBinding_IWCFCustomerService" contract="IWCFCustomerService" name="BasicHttpBinding_IWCFCustomerService"/>
    </client>
  </system.serviceModel>
    <system.diagnostics>
        <trace>
            <listeners>
                <add type="Microsoft.WindowsAzure.Diagnostics.DiagnosticMonitorTraceListener, Microsoft.WindowsAzure.Diagnostics, Version=2.2.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35"
                    name="AzureDiagnostics">
                    <filter type="" />
                </add>
            </listeners>
        </trace>
    </system.diagnostics>
  <system.web>
    <compilation debug="true" />
  </system.web>
  <runtime>
    <assemblyBinding xmlns="urn:schemas-microsoft-com:asm.v1">
      <dependentAssembly>
        <assemblyIdentity name="Microsoft.Owin" publicKeyToken="31bf3856ad364e35" culture="neutral" />
        <bindingRedirect oldVersion="0.0.0.0-2.0.2.0" newVersion="2.0.2.0" />
      </dependentAssembly>
    </assemblyBinding>
  </runtime>
</configuration>

RoleStartup.cs

using Microsoft.Owin.Hosting;
using Microsoft.WindowsAzure.ServiceRuntime;
using Ninject;
using SalesApplication.Owin.Startup;
using System;
using System.Diagnostics;
using System.Net;
using System.Threading;

namespace SalesApplication.Azure.CloudService.Roles.Owin
{
    public class RoleStartup : RoleEntryPoint
    {
        private IDisposable MyApp = null;
        private IKernel Kernel { get; set; }

        public override void Run()
        {
            // this is a sample worker implementation. Replace with your logic.
            Trace.TraceInformation("WorkerRole1 entry point called", "Information");

            while (true)
            {
                Thread.Sleep(10000);
                Trace.TraceInformation("Working", "Information");
            }
        }

        public override bool OnStart()
        {
            ServicePointManager.DefaultConnectionLimit = 50;
            var AppPoint = RoleEnvironment.CurrentRoleInstance.InstanceEndpoints["OwinEndpoint"];
            string baseUri = string.Format("{0}://{1}", AppPoint.Protocol, AppPoint.IPEndpoint);
            Trace.TraceInformation(String.Format("OWIN URL is {0}", baseUri), "Information");

            // initialize OWIN pipeline
            // we explicitly invoke our OWIN Startup class instead of configuring it or allowing
            // discovery
            MyApp = WebApp.Start<Startup>(new StartOptions(url: baseUri));

            return base.OnStart();
        }

        public override void OnStop()
        {
            if (MyApp != null)
            {
                MyApp.Dispose();
            }
            base.OnStop();
        }
    }
}

Startup.cs

using Microsoft.Owin;
using Owin;
using SalesApplication.Owin;
using SalesApplication.Owin.Startup;


namespace SalesApplication.Owin.Startup
{
    public class Startup
    {
        public void Configuration(IAppBuilder app)
        {
            app.UseWelcomePageInDebugMode("/");
            app.UseErrorPageInDebugMode();
            app.UseNTLM();
            app.UseSalesApplicationWebAPI();
            app.UseNancy();
        }
    }
}