Hi @Sln , welcome to Microsoft Q&A forum.
So currently I could not locate any step by step documentation to achieve the same but I would recommend you to please once go through the below code piece where its reading data from files and loading it to Azure FHIR server. We can replace the code to read from SQL database instead and follow the similar code to achieve our requirements.
https://github.com/hansenms/FhirLoader
You can check if this fulfils you requirements and in case more information is needed please let us know.
Also anonymous access would work only with publicly available server:
https://learn.microsoft.com/en-us/power-query/connectors/fhir/fhir-authentication#anonymous-access
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