It depends. If Salesforce Data Cloud has a connector for AZ SQL (being a native one or odbc/jdbc), you can query directly. MS also has something like OData. AFAIK AZ SQL does not have a query API, only for DB-management purposes.
If all above is not possible, you need either to move the data somewhere else, which Salesforce can query (can be anything that is supported by Salesforce, so could be databricks/delta lake if that is supported, but also something else), or expose the AZ Sql data by another tool which does not copy the data but makes it available, something like Presto/Trino and other data fabric tools.
If you decide to move the data to databricks, a serverless sql is probably the answer. If you want to use an API, there is a query api which can be used to run queries on databricks.