On-premises Microsoft SQL Server database cannot be used as an index data source.
Note: Indexer in Azure Cognitive Search: : Automate aspects of an indexing operation by configuring a data source and an indexer that you can schedule or run on demand. This feature is supported for a limited number of data source types on Azure.
Indexers crawl data stores on Azure.
Azure Blob Storage
Azure Data Lake Storage Gen2 (in preview)
Azure Table Storage
Azure Cosmos DB
Azure SQL Database
SQL Managed Instance
SQL Server on Azure Virtual Machines
Reference:
https://docs.microsoft.com/en-us/azure/search/search-indexer-overview#supported-data-sources