Generally, this scenario is not tested and third party integration is beyond our support scope. But essentially, RadPivotGrid should be properly bound to data which is accessible regardless whether it is coming from Azure, Oracle, AWS, Stored Procedure, etc.
To resolve this, you can try to set some specific credentials as demonstrated in this article:
If this does not work, please ensure with some code-behind C# logic that the data you are trying to fetch from Azure is accessible in your application. For instance, you can display some field value from the first record to an asp:Label on the page to verify that.
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