With more and more enterprises moving to cloud infrastructures and Azure being one of the most used one, there should be support for its authentication service Azure Active Directory (AAD).
Currently if you are using cloud services like Azure SQL Servers the only way to connect is with SQL login, which in a corporate environment is insecure and administrative overhead to manage.
The only work around I found so far is creating an ODBC 17 connection that supports AAD authentication and connect to it in Alteryx.
Please see the post below covering that topic:
https://community.alteryx.com/t5/Alteryx-Designer-Discussions/Alteryx-Designer-How-to-Connect-to-Azu...