I do a fair amount of personal data analysis for my investing decisions. As a programmer I use the SQL Server database engine to store a bunch of intraday prices and closing prices. I made a C# app to collect the data throughout the day. And another couple of C# apps to analyze the data and get SMA's, EMA's, and a couple of homemade scores for each investment relative to its history. Some of that is using views and stored procedures within TSQL (and some in the high level apps in C#). Even if I took the time to replicate some of that in MySQL it'd be slower than Biden reading from a teleprompter.
You can put a SQL server on your Azure VM. They also have a SQL Azure thing, but I understand it’s got a few oddities so it’s not just like running SQL on a box.