Try to connect to the Azure SQL Database in SSMS, then select the large table to check your desired fields. After executing an appropriate query to get data in SSMS, apply this query statement in Power BI Desktop.
Try to optimize your database and tables. https://alexandrebrisebois.wordpress.com/2013/11/30/steps-towards-optimized-windows-azure-sql-databa... https://alexandrebrisebois.wordpress.com/2014/01/26/indexes-are-crucial-on-windows-azure-sql-databas...