There are no large scale randomized clinical trials. there may never be because you can or withhold a likely effective drug from people who are ill. I hope to see some trials with multiple drugs against each other so we can eventually determine which regimen is most effective but the goood news is we have multiple drugs that appear to be useful
As you noted that kind of testing is difficult in an epidemic situation. Probably the best alternative is to try to compare the outcomes of treated patients vs. a randomized selection of patients who were not treated using the combination for one reason or another. It will be difficult to remove the other potential influencing factors for patients who have contraindications to hydroxychloroquine or azithromycin, but that provides a starting basis for a control pool.
Data from other countries before the usage of the therapy might also be helpful in the analysis.