I have a simple service that I deployed to Azure. It is accessible via:
http://xxxxxxxxxxxxxxxxxxxxxxx.cloudapp.net/MyTestService.svc
The U
Are you generating the WSDL in order to publish it, or are you just trying to add a reference in another project?
If it's the later, my suggestion is to use the WCF ChannelFactory approach rather than "add service reference". I find it gives me more consistent controllable results.
http://msdn.microsoft.com/en-us/library/ms734681.aspx
I must add, I haven't tried this on Azure.