It's most likely looking for an app password since you have MFA enabled. So you would do that by doing the following.
1. Open a web browser and navigate to the following URL. https://portal.office.com/account/#security.
2. Log in with your Office 365 user name and password.
3. Click on the link labeled 'Create and manage app passwords'.
4. Add Method >> App Password.
5. Name the app password.
6. Generate the code.
7. Enter the code on your iPhone instead of your Office 365 password.