How to create a JOB for Azure SQL?
If you are using Azure SQL Servers rather than Managed Instances or on-prem instances in VMs†, and are trying to create SQL Agent jobs†, then you can not: SQL Agent Jobs are not supported for Azure SQL.

There are a number of ways to automate tasks in Azure SQL. The official way it is heading appears to be Elastic Database Jobs, though this feature is still officiall in preview.

See these links for a bit more detail:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-job-automation-overview
https://docs.microsoft.com/en-us/azure/sql-database/elastic-jobs-overview

[†] If you are using managed or VM instances, or are looking to create some other form of job, edit your question accordingly.