Hello @Frank Hsieh,
as seen in this answer, it seems the REST API does not offer data plan manipulations.
On the other hand, connecting directly to the public endpoint of a SQL Azure database could cause security concerns.
It's simply not a wise thing to expose your database directly to the internet.
It's better to work with a layered solution.
First, you send data to the cloud over a secure connection that you can manage like an Azure Function Endpoint or the Azure IoT Hub with one of the SDKs or with plain MQTT.
From there, you connect with your database solution like SQL Server or Azure Data Explorer.
If the response helped, do "Accept Answer". If it doesn't work, please let us know the progress. All community members with similar issues will benefit by doing so. Your contribution is highly appreciated.