sp_Blitz Error on Azure SQL Database
In the readme of the first responder kit there is a statement on Azure SQL DB

Azure SQL DB - It's a dice roll. Microsoft changes DMV contents in
here without warning, so no guarantees.

There is another explanation by Scott Hodgin and a possible workaround by Henrik Staun Poulsen in this question.
Per Henrik's words

I've tried to make a version of sp_blitz that works on Azure SQL DB.
See here  Now, I'm looking for people that will test it.

You could test his version of sp_blitz and give him some feedback.