Hi ClarissaJacquline
Welcome to Microsoft Q&A platform and thanks for posting your question here.
There is no connector for Amazon Athena in ADF Linked Service, and one possible workaround is to save your data into files in an S3 bucket and then copy them to Azure Blob Storage using ADF, and then move them to Azure SQL Database.
Use the Amazon S3 Compatible Storage connector in ADF to copy data from Amazon Athena to Azure Blob Storage or Azure Data Lake Storage Gen2, and then use the Azure SQL Database connector in ADF to copy data from Azure Blob Storage or Azure Data Lake Storage Gen2 to Azure SQL.
I hope this information helps you. Let me know if you have any further questions or concerns.