Azure SQL

They recommend keeping the Main Polling Engine with the database either in the cloud or on Premise. However, if you put those in the cloud, you can have Additional polling engines local to the thing that you monitor. 

See the install guide: Deploy SolarWinds Platform products to Microsoft Azure

Yes you can, consider the below points as well:

1. I completely agree with jm_sysadmin  

2. SolarWinds has not explicitly mentioned anywhere that we cannot have application servers on prem and db on cloud - that being said as best practice what jm_sysadmin  has mentioned makes sense - Having Main Poller and Additional Web Servers closer to DB is always a good approach.

3. But if you still want to install Application Servers (Orion App) on prem and Orion DB (Azure SQL) on Cloud you can, provided you are good with latency - this is the Main Point  make sure you are within the limits mentioned below

"The latency (RTT) between each SolarWinds Platform Additional polling engine and the database server should be below 200 ms. Degradation may begin around 100 ms, depending on your utilization and the size of your deployment."

Hope this helps.

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I support everything vinay.by  says! 

Keep an eye out for the different types of azure SQL, it makes a difference

DPA cant run on Azure SQL MIs right now