Ok not sure what to enter in the subject line so apologies if it stands unclear.
I created a simple web app using MS Access 2013. It simply had one table with sample dat
(edit: intended as reply to Costas Kounadis post below, must include DB name on connection)
I completely agree, you MUST enter the database name on the Options tab. This applies to SSMS, SSDT and ODBC connections.
I THINK the reason is that if you do not provide the database name, a request to enumerate the databases available is sent to Azure, which triggers the firewall error message. It might actually be an accurate message because that kind of request may be legit for an Azure database you created yourself, i.e. using standard Azure rather than the auto-provisioned one created by Access.