John, have you seen this community article. I'm also struggling with this because the authentication doesn't recognize the primary authentication for Azure database which is an "Azure credential" not the windows credential. In my organization, we would never use the SQL basic auth so using the Azure cred or a CyberArk cred in the store would be the most appropriate. The link below appears to be a hack to make the Azure cred work but I haven't tested it yet because I have MFA on all my Azure accounts and have to work through that but it might be a reasonable use case for you. 

https://www.servicenow.com/community/developer-articles/jdbc-connection-with-azure-sql-database/ta-p...