When importing or exporting data in Azure SQL Database, the data is not copied via your local PC. Instead, the import/export operation is performed directly from the server to server.
The exact process for importing and exporting data can vary depending on the specific method being used, such as the Azure portal, SQLPackage or command-line.
However, in general, the data is first extracted from the source database, and transferred to the destination database.
Example if you use SQLPackage.exe method to import the data, then it will be store in the local PC first.
Here is a syntax-
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