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Hi Vince,
Yes , you are right. You need to use the Azure SQL database and Business Connectivity Services (BCS) to achieve your requirement.
For your reference: https://support.office.com/en-us/article/Make-an-External-List-from-a-SQL-Azure-table-with-Business-Connectivity-Services-and-Secure-Store-466f3809-fde7-41f2-87f7-77d9fdadfc95
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However, since our forum focuses on Office 365 for Business service, if you need further assistance on the configuration in Azure, I would suggest you post the question in the Azure forum.
Thanks,
Cliff