Azure SQL doesn't support polybase at this moment.
See similar question: https://learn.microsoft.com/en-us/answers/questions/78587/can-we-use-polybase-on-azure-sql-database.html
There is also a feedback posted in below and looks like there is no plan to support it:
https://feedback.azure.com/d365community/idea/fba7ed81-3225-ec11-b6e6-000d3a4f0f84
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