I am using the RedisSessionStateProvider using a procedimient like this https://azure.microsoft.com/en-us/documentation/articles/web-sites-dotnet-session-state-
To do that you need to define the connection string as a environment variable, not as a typical connection string. And in the sesion state provide use the environment variable name.
This way:
Using that you can now define the connection string in the App Settings of Azure WebSites