Linked Server alternative in Sql Azure database
You can use cross database queries as explained here. For example, to make reference to a remote table on a query you need to create a data source:
CREATE EXTERNAL DATA SOURCE MyExtSrc
WITH
(
 TYPE=SHARD_MAP_MANAGER,
 LOCATION='myserver.database.windows.net',
 DATABASE_NAME='ShardMapDatabase',
 CREDENTIAL= SMMUser,
 SHARD_MAP_NAME='ShardMap'
);

Define an external table using that data source.
CREATE EXTERNAL TABLE [dbo].[all_dm_exec_requests](
 [session_id] smallint NOT NULL,
 [request_id] int NOT NULL,
 [start_time] datetime NOT NULL, 
 [status] nvarchar(30) NOT NULL,
 [command] nvarchar(32) NOT NULL,
 [sql_handle] varbinary(64),
 [statement_start_offset] int,
 [statement_end_offset] int,
 [cpu_time] int NOT NULL
)
WITH
(
 DATA_SOURCE = MyExtSrc,
 SCHEMA_NAME = 'sys',
 OBJECT_NAME = 'dm_exec_requests',
 DISTRIBUTION=ROUND_ROBIN
);

Finally, use the external table on SELECT statements.
SELECT TOP 10 
 [request_id],
 [start_time]
 [status],
 [command]
FROM all_dm_exec_requests
ORDER BY [cpu_time] DESC