There is no way to set a default database for a user,you cannot set the default database property for the login on Azure SQL, thus default database will always be [master] database.
User connecting directly using SSMS o Azure Data Studio needs to specify to which database they will connect. Applications will need to specify the "initial catalog" and specify to which database.
"Database name must be used when authenticating, cannot use just <default> database"
"Create SQL user on the master database (this is necessary for login attempt to the <default> database, as with Azure SQL you cannot set the DEFAULT_DATABASE property of the login so it always will be [master] database.)"
Source: Create SQL Login and SQL User on your Azure SQL DB