i think I misunderstood you - I though you will create AC repository on Azure SQL Server.
To connect to the source located on Azure using Azure Active Directory security you can use the following connection string for SQL Server OLEDB driver: Source
Provider=MSOLEDBSQL;Data Source=[server];Initial Catalog=[database];Authentication=ActiveDirectoryServicePrincipal;User ID=[Application (client) ID];Password=[Application (client) secret];Use Encryption for Data=true
[server] is sometning like yourservername.database.windows.net
[Application (client) ID] is your AD user, like email@example.com
[Application (client) secret] is your AD password