Azure SQL Server External Data Sources
Currently Azure SQL Database only allows to query other Azure SQL Databases or Azure SQL Data Warehouse databases by using elastic queries. Linked servers are not supported on Azure SQL Database. Currently is not possible to query SQL Server instances or other RDBMS from Azure SQL Database.

The new PaaS product named Azure Managed Instance allows to create linked servers but for a limited number of targets. Supported targets: SQL Server and SQL Database. Not supported targets: files, Analysis Services, and other RDBMS. For more information, please read this blog.