You can leverage a copy activity to copy data from 1 azure sql database to another and/or to copy data of file (Assuming file system or blob etc) to azure sql database.
- https://learn.microsoft.com/en-us/azure/data-factory/tutorial-copy-data-dot-net
- https://learn.microsoft.com/en-us/azure/data-factory/connector-sql-server?tabs=data-factory
Rather than sql server, for your case it would be Azure SQL db