Is it possible to have domain joined SQL Azure servers or Database so that we can use logins from our Active directory using windows Authentication?
Microsoft announced support for AAD auth for Azure SQL DB recently. Check out details on the doc page and the blog post below.
https://azure.microsoft.com/en-us/documentation/articles/sql-database-aad-authentication/
http://blogs.msdn.com/b/sqlsecurity/archive/2015/09/16/azure-active-directory-authentication-is-in-public-preview.aspx
https://azure.microsoft.com/en-us/blog/preview-azure-ad-authentication-7/