Unfortunately, you don't have control over filegroups on Azure SQL. But sill you can take advantage of partitioning on Azure SQL. Here you can see a detailed article.
On this support article you can see another complete example of how to do it.
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Hi,
I want to create a partition on an attribute in Azure MS SQL Server DB.
I have created a partition function but the partition scheme needs filegroups.
How can I create new filegroups which are used in the below example?
I want to implement below -
CREATE PARTITION FUNCTION COUNTRY_PF (NVARCHAR(30))
AS RANGE LEFT FOR VALUES ('AUSTRALIA', 'US', 'UK');
CREATE PARTITION SCHEME COUNTRY_PS
AS PARTITION COUNTRY_PF
TO (AUS_FG, US_FG, UK_FG);
Unfortunately, you don't have control over filegroups on Azure SQL. But sill you can take advantage of partitioning on Azure SQL. Here you can see a detailed article.
On this support article you can see another complete example of how to do it.