Revision Tracking & Source Control for Azure SQL Data Warehouse
Microsoft has started work on this and there is a signup page for a preview version. In the meantime you may want to look at DBUp and FiveTran, although I haven't worked with either of these.

Update: As of Aug 2019, it is publicly available in preview.
https://docs.microsoft.com/en-us/azure/sql-data-warehouse/sql-data-warehouse-install-visual-studio

You'll want to vote for this thread:

https://feedback.azure.com/forums/307516-sql-data-warehouse/suggestions/13313247--in-preview-database-project-from-visual-studio-t