Please make sure the Azure Active Directory user is created on the Azure SQL Database. Please make you create the user in the Azure SQL Database following the steps mentioned here.
To create an Azure AD-based contained database user, connect to the database with an Azure AD identity, as a user with at least the ALTER ANY USER permission. Then use the following Transact-SQL syntax:
CREATE USER <Azure_AD_principal_name> FROM EXTERNAL PROVIDER;
CREATE USER [bob@contoso.com] FROM EXTERNAL PROVIDER;
CREATE USER [alice@fabrikam.onmicrosoft.com] FROM EXTERNAL PROVIDER;
Make sure you are connect to the Azure SQL database and not to the master database on the Azure SQL logical server.