Hello @Flemming Hedegaard Wagner
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to "Accept " the answer.
Issue: Single user of Azure directory is locked out
Solution: Resolved by @Flemming Hedegaard Wagner
After successfully gaining access to your database and other resources on Azure via SSMS, you selected the "Management Portal" option. This opened the portal.azure.com site using your Office account (the last used one), granting you access to all your resources. Now, by directly accessing your Azure account through the URL (https://portal.azure.com/4azuremydomain.onmicrosoft.com), you are taken straight to your account and can access all your resources.
If you have any other questions or are still running into more issues, please let me know. Thank you again for your time and patience throughout this issue.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.
Best Regards,
Harshitha Eligeti.