It's mainly datazen focussing on SQL access. So for the time being, unless MS is changing the options here, OLEDB / ODBC are the only options i can see directly. But the imminent release of the PI Connector for BI could allow an Azure SQL table to be the source for DataZen. Just a few weeks to find out more on that.
One might expect MS to integrate this into it's cloud and BI offerings, opening up the connectivity even more.