@MOHAMMED ABDULLA T Thanks for the details. That's not the suggested way, please follow the Import Data doc to bring the Azure Sql database into pipeline.
https://learn.microsoft.com/en-us/azure/machine-learning/component-reference/import-data
Are you using the on-premise SQL server?. If yes we have forwarded to the product team to support in the near future. For unsupported storage solutions, and to save data egress cost during ML experiments, move your data to a supported Azure storage solution.
Here is the document for supported storage types.