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make sure the SQL Database firewall allows the integration runtime to access. A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: SQL Network Interfaces, error: 26 - Error Locating Server/Instance Specified), SqlErrorNumber=-1,Class=20,State=0, Activity ID: 180f43f7-e24a-41d5-8c61-49b4399d34c3.
Hi @JasperJoshua - As @Vaibhav Chaudhari has pointed out, you will need the Integration Runtime component in Data Factory:
The Integration Runtime (IR) is the compute infrastructure used by Azure Data Factory to provide the following data integration capabilities across different network environments:
Copy data across data stores in public network and data stores in private network (on-premises or virtual private network). It provides support for built-in connectors, format conversion, column mapping, and performant and scalable data transfer. 
If you are trying to connect to local SQL Server, you will have to install IR on the machine. Please see below step by step document
Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav