install FirstResponderKit in Azure SQL DB?
From the documentation on GitHub - (highlighting mine)

The First Responder Kit runs on:


SQL Server 2008, 2008R2, 2012, 2014, 2016, 2017 on Windows - yes,
fully supported
SQL Server 2017 on Linux - yes, fully supported except sp_AllNightLog
and sp_DatabaseRestore, which require xp_cmdshell, which Microsoft
doesn't provide on Linux
SQL Server 2000, 2005 - not supported by Microsoft anymore, so we
don't either 
Amazon RDS SQL Server - fully supported
Azure SQL DB - It's a dice roll. Microsoft changes DMV contents in here without warning, so no guarantees