A limitation with Azure SQL database has been its inability to do cross-database SQL queries. This has changed with the introduction of elastic database queries, now in preview. However, it’s not as easy as on-prem SQL Server, where you can just use the three-part name syntax DatabaseName.SchemaName.TableName. Instead, you have to define remote tables (tables outside your current database), which is similar to how PolyBase works for those of you familiar with PolyBase.
For one-off tables you join to frequently, I suppose this isn’t terrible, but it’s certainly less convenient.