In the Windows Azure (Preview) Management Portal you can change the configuration options for web sites (see http://www.windowsazure.com/en-us/manage/services/web-sites/how-
I had the same problem. I solved, putting in the web.config this connectionstring:
And after I removed the connectionstring of my website, worked, because it was not getting the connection string that I added in my web.config.
English bad... =)