Not sure if you have seen the below thread
https://stackoverflow.com/questions/70686239/vba-connect-to-dbname-ondemand-sql-azuresynapse-net
You can try the below connection string format.
Provider=MSOLEDBSQL;Data Source=myServer;Initial Catalog=myDatabase;Authentication=ActiveDirectoryInteractive;User ID=myUserName;Use Encryption for Data=true;