Ephemeral disk on Azure LS series
eckes is correct, you can't use the NVMe disks for persistent databases. 

For the time being Premium SSD will be your best option for IOPs/throughput on data disks.  Ultra SSDs are in Preview now in East US2. 


+----------------+---------------------------------+------------------------------------------------+----------------------------------------------------------------+-----------------------------------------+
|                |       Ultra SSD (preview)       |                  Premium SSD                   |                          Standard SSD                          |              Standard HDD               |
+----------------+---------------------------------+------------------------------------------------+----------------------------------------------------------------+-----------------------------------------+
| Disk type      | SSD                             | SSD                                            | SSD                                                            | HDD                                     |
| Scenario       | IO-intensive workloads          | Production and performance sensitive workloads | Web servers, lightly used enterprise applications and dev/test | Backup, non-critical, infrequent access |
| Disk size      | 65,536 gibibyte (GiB) (Preview) | 4,095 GiB (GA), 32,767 GiB (Preview)           | 4,095 (GA) GiB, 32,767 GiB (Preview)                           | 4,095 GiB (GA), 32,767 GiB (Preview)    |
| Max throughput | 2,000 MiB/s (Preview)           | 250 (GA) MiB/s, 750 MiB/s (Preview)            | 60 MiB/s (GA), 500 MiB/s (Preview)                             | 60 Mib/s (GA), 500 MiB/s (Preview)      |
| Max IOPS       | 160,000 (Preview)               | 7500 (GA), 20,000 (Preview)                    | 500 (GA), 2,000 (Preview)                                      | 500 (GA), 2,000 (Preview)               |
+----------------+---------------------------------+------------------------------------------------+----------------------------------------------------------------+-----------------------------------------+