An Azure relational database service.
In Azure SQL database, you can create external table to point to other Azure SQL Databases but not to files in Azure storage
You can use On-premise SQL or Azure synapse server (Azure SQL DW Server) which has the polybase support.
See the polybase availability table - polybase-versioned-feature-summary
There is a feedback raised that you can upvote. Lot of users have been demanding this feature -
17376250-polybase-support-for-azure-sql-database
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Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav