Connection represents connection to the Azure SQL Database over a network. A session represents a user process within the Azure SQL Database. A connection may be associated to more then one session. The following query shows all connections and related sessions:
SELECT c.session_id, s.status, c.connection_id
FROM sys.dm_exec_connections AS c
JOIN sys.dm_exec_sessions AS s ON c.session_id = s.session_id
WHERE c.session_id <> @@SPID