Instead use Azure Cache for Redis.
Note: Azure Cache for Redis provides a session state provider that you can use to store your session state in-memory with Azure Cache for Redis instead of a SQL Server database. To use the caching session state provider, first configure your cache, and then configure your ASP.NET application for cache using the Azure Cache for Redis Session State NuGet package.
Reference:
https://docs.microsoft.com/en-us/azure/azure-cache-for-redis/cache-aspnet-session-state-provider