Using SQL 2014, you should be able to do a distributed query between a local SQL server and an SQL Azure.
First, create a Linked-Server:
Linked Server (name): LinkedServerName
Provider: Microsoft OLE DB Provider for SQL Server
Product name: (blank)
Data Source: azure-db.database.windows.net
Provider string: (blank)
Location: (blank)
Catalog: db-name
In security options: (*)
Remote login: azure-user-name
With password: yourPassword
In SSMS entered the following test query:
use [Local_DB]
go
Select *
from [LinkedServerName].[RemoteDB].[dbo].[Remote_Table]
It works fine.
Moreover, you can refer this article for more information:
https://www.sqlshack.com/create-linked-server-azure-sql-database/