Can I create a Azure SQL Server (server) with a different collation?
The collation for user databases can be specified for SQL Azure Database user databases nowadays (e.g. CREATE DATABASE YourDatabase COLLATE Latin1_General_CI_AS;).

EDIT:

The logical Azure SQL Server collation is fixed at SQL_Latin1_General_CP1_CI_AS and is not configurable (as of this writing). However, this collation is only used for system objects in master, tempdb, and user databases. It does not affect the collation of user objects in tempdb, which is the collation of the current Azure SQL Database context (not logical SQL Server) unless otherwise specified. This behavior differs from on-prem and IaaS SQL Server instances where the instance collation also determines the tempdb default database collation used for both system and user objects, therefore having a more significant impact. 

With this in mind, you might think of system and user collations orthogonally in the Azure SQL Database world because you won't run into collation conflict errors in the user space as long as you use the same collation consistently. Also, if you use either Latin1_General_CI_AS or SQL_Latin1_General_CP1_CI_AS as your user database collation, you'll still get the same sorting and comparison behavior as system object names because Windows sorting and comparison rules are used for Unicode data and system object names are stored as nvarchar(128) (a.k.a sysname).