Hey,
The below links might help:
https://stackoverflow.com/questions/62682926/possible-to-use-data-factory-to-extract-all-azure-active-directory-users
sharepointpals.com/post/how-to-use-microsoft-graph-data-connect-to-extract-data-using-azure-data-factory-from-office-365-and-push-to-azure-blob-storage-part-2/
You can build up on to of that to copy that into Azure SQL database