Graph Databases have been popular lately. You can use Azure Cosmos DB as your Graph database source by selecting Gremlin API. Gremlin programing language is developed by Apache TinkerPop of the Apache Software Foundation. I will show you how to connect to Cosmos DB Gremlin API from TinkerPop Gremlin console.
You can download the latest version of Gremlin console from here. The latest version was 3.4.6 when I wrote this post. I was able to connect to the Cosmos DB by using the versions 3.4.3 and 3.4.6. You can run the console from Linux or Windows, I will focus on the Windows version here but Linux version should work the same way. You must have Java SDK 8 to run this console. Latest version of Java SDK does not work with this console.
There are a couple of configuration steps, but nothing crazy.