How to check Auditing in Azure MSSQL MI?
From https://docs.microsoft.com/en-us/azure/sql-database/sql-database-auditing


  Use Merge Audit Files in SQL Server Management Studio (starting with
  SSMS 17):



From the SSMS menu, select File > Open > Merge Audit Files.
The Add Audit Files dialog box opens. Select one of the Add options to choose whether to merge audit files from a local disk or import them from Azure Storage. You are required to provide your Azure Storage details and account key.
After all files to merge have been added, click OK to complete the merge operation.
The merged file opens in SSMS, where you can view and analyze it, as well as export it to an XEL or CSV file, or to a table.