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Additional to @AmeliaGu-MSFT response.
SQL Server can connect to an Azure Analysis Services resource as a Linked server by specifying MSOLAP as the data source provider. Before configuring a linked server connection, be sure to install the latest MSOLAP client library (provider).
To create a linked server to another instance of SQL Server Using SQL Server Management Studio:
Step1: In SQL Server Management Studio, open Object Explorer, expand Server Objects, right-click Linked Servers, and then click New Linked Server.
Step2: On the General page, in the Linked server box, type the name of the instance of SQL Server that you area linking to.
Other data source:
Provider: Microsoft OLE DB Provider for Analysis Services 14.0 Product Name: MSOLAP Datasource: Analysis services - Server name Provider string: Integrated Security= SSPI
Hope this helps. Do let us know if you any further queries.