How can I connect an Arduino / ESP8266 to an Azure MySQL database?
Not sure how you would directly connect with an C++ embedded file. One way you could achieve this is by creating a computer application and connect to the machine via Bluetooth.

{Arduino}
* Intake information
* Process into commands
* Push through software serial ----(Blue Tooth-----&gt; { PC or MAC}
                                                    *Create C# or Swift App
                                                    *Intake information via COM-PORT
                                                    *Prepare SQL command with serial data
                                                    *Push to database server


This may of not of been the method you were looking for, but it's a way I found around the issue when working with Azure Databases and Arduino Micro-Controllers. An alternative is going to Raspberry Pi which has a little more resources to deal with server functions.

Hope this helps.