The autoloader cannot work with JDBC connection, it is a file-based on cloud storage

If you are looking for incrementally loading data from Azure SQL, checkout one of our technology partners that support change-data-capture or setup debezium for sql-server.

These solutions could land data in a streaming fashion to kafka/kinesis/eventhub etc or to adls/s3/gcs. In the latter case, autoloader would come very handy to load data to delta tables.