An Azure managed MySQL database service for app development and deployment.
Seems like you are trying to use a DSN. That has to be a system DSN for things to work. If it ever works with a DSN - as I am not a friend of DSNs, I've never tested that.
I did this: I went to https://dev.mysql.com/downloads/connector/odbc/ and downloaded the 64-bit version of the driver and installed it. After some experimenting I was able to run this successfully against my Azure Flexible MySQL Server:
EXEC sp_addlinkedserver MYSQL, '', 'MSDASQL',
@provstr = 'Driver={MySQL ODBC 8.0 Unicode Driver};User=xyzxyz;Password=TopSecret;Server=zzzzz.mysql.database.azure.com;Database=slasketti'
go
SELECT * FROM MYSQL.slasketti..nisselille
go
SELECT * FROM OPENQUERY(MYSQL, 'SELECT * FROM INFORMATION_SCHEMA.COLLATIONS')
go
EXEC sp_dropserver MYSQL