You cannot use a cross database query from Azure SQL that access data on a table located on Azure SQL VM. However, you can use SQL Data Sync to sync data tables between SQL Server VM and Azure SQL. Data sync can be one direction or bi-directional. You can then consume the data locally as it is synced by SQL Data Sync
If you want to run queries from SQL Server Azure VM involving tables located on Azure SQL, you can create linked servers as explained here, but performance may be an issue with large data sets.
You can also considerate Transactional replication as an alternative.
Hope this helps.