How do I get Brent Ozar's sp_BlitzIndex to run on Azure?
Kendra here (the author of sp_BlitzIndex)

First, thanks for being interested in the procedure and trying it out. 

Azure doesn't expose all the dynamic management views that we get in the boxed product. I do actually reference sys.dm_db_partition_stats, but there's other info I need to get from sys.partitions for other users. (Is it using compression? What type?)

I haven't had time to write an test an Azure specific version, just because I haven't had a lot of demand for it. But your question does tell me there's more interest than I knew of -- so there's that! 

I will at minimum look at implementing some error handling so it lets you know in a graceful way though. (This is a bit of a moving target, because Azure has been expanding the features that are available to users as well.)