@Kansara, Ankit - Thanks for the question and using MS Q&A platform.
Unfortunately, Microsoft Purview DLP policies cannot be applied to Azure SQL or Azure SQL Databases.
According to the official documentation: Learn about data loss prevention
You can apply DLP policies to data at rest, data in use, and data in motion in locations such as:
- Exchange Online email
- SharePoint sites
- OneDrive accounts
- Teams chat and channel messages
- Microsoft Defender for Cloud Apps (Instances)
- Windows 10, Windows 11, and macOS (three latest released versions) devices
- On-premises repositories
- Fabric and Power BI workspaces
Each one has different prerequisites. Sensitive items in some locations, like Exchange online, can be brought under the DLP umbrella by just configuring a policy that applies to them. Others, such as on-premises file repositories, require a deployment of Microsoft Purview Information Protection scanner. You'll need to prepare your environment, code draft policies, and test them thoroughly before activating any blocking actions.
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