An Azure relational database service.
Why not vial Linked Server?
What about OpenDatasource? https://learn.microsoft.com/en-us/sql/t-sql/functions/opendatasource-transact-sql?view=sql-server-ver15
Or OpenRowset? https://learn.microsoft.com/en-us/sql/t-sql/functions/openrowset-transact-sql?view=sql-server-ver15
What are you trying to achieve? If it's for copy data frequently, you can use SSIS packages.