In MS document it is suggested that, In order to access Cosmos DB analytical storage, you need to define a credential containing a read-only Cosmos DB account key. Link : (https://docs.microsoft.com/en-us/azure/synapse-analytics/sql/tutorial-logical-data-warehouse)
SQL
CREATE DATABASE SCOPED CREDENTIAL MyCosmosDbAccountCredential
WITH IDENTITY = 'SHARED ACCESS SIGNATURE',
SECRET = 's5zarR2pT0JWH9k8roipnWxUYBegOuFGjJpSjGlR36y86cW0GQ6RaaG8kGjsRAQoWMw1QKTkkX8HQ
Can we use an Azure Key Vault instead of providing the read-only key manually?