Dustin Ryan shows how to set up cross-database queries within Azure SQL Database:
2. Vertical queries (in preview): A vertical elastic query is a query that is executed across databases that contain different schemas and different data sets. An elastic query can be executed across any two Azure SQL Database instances. This is actually really easy to set up and that what this blog post is about! The diagram below represents a query being issued against tables that exist in separate Azure SQL Database instances that contain different schemas.
Read on to learn how to implement vertical elastic queries today.