The USE statement is not supported on Azure SQL Database. If the application is not created in-house as you mentioned then my suggestion is to go to Azure SQL Managed Instance the only PaaS database option that supports the USE statement or instead setup a separate SQL Server VM (IaaS) for the databases the application uses.
Azure SQLAAS does not support the ‘Use Statement’
SWB Support
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Reputation points
We are using an application with Azure SQLAAS and the application vendor is advising this will not work as Azure SQLAAS does not support ‘Use Statements’. Is there any method to achieve this or will we need to set up a separate vm running SQL?