Can't connect to Azure SQL with error 18456
There are a bunch of reasons their attempt to log in could fail, chief among them being they are just not typing the username or password correctly 
Check the sys.event_log DMV for a more detailed reason for the login failure.  You should be able to filter to connection_failed events:
SELECT *
FROM sys.event_log
WHERE event_type = 'connection_failed'
ORDER BY start_time DESC;

This will let you know if they are having firewall issues (blocked_by_firewall), timeouts (client_close), typos (invalid_login_name), etc.