Hi Andy Yip
Welcome to Microsoft QnA!
You can connect to your SQL instance by using Linked services feature within your ADF, irrespective or it bieng anywhere(another RG/on-prem/other cloud).
https://learn.microsoft.com/en-us/azure/data-factory/connector-sql-server?tabs=data-factory
From Network connectivity standpoint you can use multiple way whatever suits your requirement :
- Public endpoint on your SQL server
- Private endpoint and Azure Data Factory Managed Virtual Network
https://learn.microsoft.com/en-us/azure/data-factory/tutorial-copy-data-portal-private you can follow the link to explore further.
Please "Accept as answer" if this helps