Answer: If you still have the azaleas, you may be able to protect them by placing wire mesh such as chicken wire on top of the mulch around the shrubs. This should discourage the cats from digging there. Or, you could try sprinkling the area with thorny trimmings such as rose prunings, to make it uncomfortable to walk there. Sometimes too changing the mulch material will help.
Azaleas are shallow rooted and will not tolerate too much digging in their root area, so it is not usually a good idea to plant beneath them or right next to them for that reason.
The plants that are sometimes suggested as cat repellents include rue and lavender, but both of these plants require full sun all day and a very well drained soil to stay healthy. The lavender also does best in a neutral to alkaline pH that would be unsuitable for azaleas -- azaleas require an acidic soil. The lavender most likely would have winter hardiness issues where you are, and the rue is a foliage plant rather than a flower. Also, some people have a terrible contact skin allergy to rue plants.
There is also the annual foliage plant "Scaredy Cat" plant or coleus canina that is said to repel cats if planted all along the perimeter of the garden. I do not have personal experience with trying it.
I'm sorry I can't be more helpful, there just aren't many plants cats don't like.
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