Hi Neil,
Could you please Telnet the current IP of your Azure SQL DW server with the port 1433 to verify the network connection?
Please try to configure NSG to allow the client IP with the port 80, 443 ,1433 and port range 11000-11999.
For more details, please refer to the following articles which might help:
Error 10060: Configure Azure NSG for Azure DB and Azure DW Connectivity
Connecting to Azure DB from SQL management studio is failing MSSQLSERVER_10060
Best Regards,
Amelia
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