At this moment, this is not possible. You can upvote below feedback -
https://feedback.azure.com/forums/217321-sql-database/suggestions/34363534-connection-to-cosmos-db
You can try to copy the data from Cosmos DB to Azure SQL using data factory and use this staged data.
See similar questions:
https://stackoverflow.com/questions/54176547/create-a-linked-server-connection-between-azure-sql-db-and-azure-cosmos-db
https://stackoverflow.com/questions/53603979/can-an-azure-hosted-sql-server-connect-with-an-azure-cosmos-db
Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav