@Zachary Lehmann Thank you for reaching out.
Could you please provide more details about the error message you are getting.
Did you do the right configuration in the Azure portal.? Under set firewall - Public Network, selected "selected networks."
Enabled allow Azure services and resources to access this server.
This also can be caused by internal restrictions set by the company.
Are you using integrated or AAD universal/MFA Support.?
You will need to create a firewall rule in the Azure portal under the server blade.
https://learn.microsoft.com/en-us/azure/azure-sql/database/firewall-create-server-level-portal-quickstart?view=azuresql

I am following this doc https://learn.microsoft.com/en-us/azure/azure-sql/database/connect-query-vscode?view=azuresql#connect-to-your-database
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Regards,
Oury