Express editions of SQL Server Reporting Service, from SQL 2016 on down, cannot connect to Azure SQL Databases. Turns out, getting something for free does have some significant limitations.
For example, you’ll see an error message “The Report Server has encountered a configuration error” on a data source page, when creating a new SSRS data source in the Report Manager website. What you may have not noticed on this page was the possible values in the Data Source Type drop down list.
This is an important limitation if you were thinking of living on the free tier of SSRS.