I have an Azure Analysis Services model reading data out of SQL Azure with this connection string:
Data Source=MySQLAzureDB.database.windows.net;
Initial Cat
I think it is unsupported for AAS. We have plans to extend SQL driver allowing to support interactive mode where password is requested via an interactive dialog. Also you may try MSI to Azure SQL (from Windows VM): https://docs.microsoft.com/azure/active-directory/msi-tutorial-windows-vm-access-sql Although it's not quite what you are looking for.
Mirek Sztajno, senior PM SQL Data Platforms